Measuring investor sentiment with mutual fund flows

被引：207

作者：

Ben-Rephael, Azi ^{[1
]}

Kandel, Shmuel ^{[1
,2
]}

Wohl, Avi ^{[1
]}

机构：

[1] Tel Aviv Univ, Leon Recanati Grad Sch Business Adm, Tel Aviv, Israel

[2] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 104卷 / 02期

关键词：

Mutual funds; Flows; Investor sentiment; Return predictability; Stocks; CROSS-SECTION; STOCK; PERFORMANCE; RETURNS;

D O I：

10.1016/j.jfineco.2010.08.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：363 / 382

页数：20

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