The Sum of All FEARS Investor Sentiment and Asset Prices

• 成果类型: Article
• 署名作者: Da, Zhi; Engelberg, Joseph; Gao, Pengjie
• 署名单位: University of Notre Dame; University of California System; University of California San Diego
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu072
• 发表日期: 2015
• 页码: 1
• 关键词: TRADING VOLUME; stock returns; INFORMATION; noise; equilibrium; arbitrage; IMPACT; RISK

摘要

We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., recession, unemployment, and bankruptcy), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows out of equity funds and into bond funds. Taken together, the results are broadly consistent with theories of investor sentiment.