|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id1931665. ; Size: 388K
|
|
Measuring Investor Sentiment with Mutual Fund Flows
Azi Ben-Rephael
Indiana University - Kelley School of Business, Department of Finance
Shmuel Kandel (deceased)
Deceased
Avi Wohl
Tel Aviv University - Faculty of Management
September 12, 2011
Journal of Financial Economics (JFE), Forthcoming
Abstract:
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.
Number of Pages in PDF File: 59
Keywords: mutual funds, flows, investor sentiment, return predictability, stocks
JEL Classification: G11, G12, G14
Accepted Paper Series
Download This Paper
Date posted: September 14, 2008
; Last revised: September 21, 2011
Suggested CitationBen-Rephael, Azi, Kandel (deceased), Shmuel and Wohl, Avi, Measuring Investor Sentiment with Mutual Fund Flows (September 12, 2011). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=1267284
|
| Feedback to SSRN (Beta) |
|
|
People who downloaded this paper also downloaded:
1.
Investor Sentiment and the Mean-Variance Relation
By
Jianfeng Yu
and
Yu Yuan
2.
The Short of It: Investor Sentiment and Anomalies
By
Robert Stambaugh,
Jianfeng Yu, ...
3.
Global, Local, and Contagious Investor Sentiment
By
Malcolm Baker,
Jeffrey Wurgler, ...
4.
Investor Sentiment Measures
By
Lily Qiu
and
Ivo Welch
5.
Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?
By
Markus Glaser,
Philipp Schmitz, ...
6.
Investor Sentiment and the Cross-Section of Stock Returns
By
Malcolm Baker
and
Jeffrey Wurgler
7.
Investor Sentiment in the Stock Market
By
Malcolm Baker
and
Jeffrey Wurgler
8.
Luck Versus Skill in the Cross Section of Mutual Fund Returns
By
Eugene Fama
and
Kenneth French
9.
No Place Like Home: Familiarity in Mutual Fund Manager Portfolio Choice
By
Veronika Pool,
Noah Stoffman, ...
10.
A Tale of Two Strategies: Cash Flow, Accruals and the Role of Investor Sentiment
By
Xavier Gerard,
Ron Guido, ...
|
|
|
|
