Measuring investor sentiment with mutual fund flows

• 成果类型: Article
• 署名作者: Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi
• 署名单位: Tel Aviv University; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.08.018
• 发表日期: 2012
• 页码: 363-382
• 关键词: mutual funds; FLOWS; Investor sentiment; Return predictability; stocks

摘要

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard deviation of net exchanges is related to 1.95% of market excess return. Our main new finding is that 85% (all) of the contemporaneous relation is reversed within four (ten) months. The effect is stronger in smaller stocks and in growth stocks. These findings support the notion of noise in aggregate market prices induced by investor sentiment. (C) 2010 Elsevier B.V. All rights reserved.