Dumb money: Mutual fund flows and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Frazzini, Andrea; Lamont, Owen A.
• 署名单位: University of Chicago; Yale University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.07.001
• 发表日期: 2008
• 页码: 299-322
• 关键词: Mutual fund; individual investors

摘要

We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money-by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand. (C) 2008 Elsevier B.V. All rights reserved.