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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Author

Listed:
  • Stephen Brown
  • William Goetzmann
  • Takato Hiraki
  • Noriyoshi Shiraishi
  • Masahiro Watanabe

Abstract

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In both markets exposure to this factor is priced, and in the Japanese case, we document evidence of negative correlations between "Bull" and "Bear" domestic funds. The flows to bear foreign funds in Japan display some evidence of negative correlation to foreign bull and equity funds. They appear to be independent of domestic bull and bear fund flows, suggesting that there is a foreign vs. domestic sentiment factor in Japan that does not appear in the contemporaneous U.S. data. By contrast, U.S. mutual fund investors appear to regard domestic and foreign equity mutual funds as economic complements.

Suggested Citation

  • Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
    • Handle: RePEc:ysm:wpaper:ysm274
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    References listed on IDEAS

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    More about this item

    Keywords

    Investor Sentiment; Mutual Fund Flows; Bull and Bear Funds; Factor Pricing Mod;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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