Abstract

http://ssrn.com/abstract=1267284
 
 

References (68)



 
 

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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

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Date posted: September 14, 2008 ; Last revised: September 21, 2011

Suggested Citation

Ben-Rephael, Azi and 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

Contact Information

Azi Ben-Rephael
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
HOME PAGE: http://www.kelley.iu.edu/finance/

Shmuel Kandel (deceased)
Deceased
N/A
Avi Wohl (Contact Author)
Tel Aviv University - Faculty of Management ( email )
P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972 3 6409051 (Phone)
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