| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9470 |
| 来源ID | Working Paper 9470 |
| Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows | |
| Stephen J. Brown; William N. Goetzmann; Takato Hiraki; Noriyoshi Shirishi; Masahiro Watanabe | |
| 发表日期 | 2003-02-03 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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 domestic and foreign equity funds, 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 substitutes. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9470 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567089 |
| 推荐引用方式 GB/T 7714 | Stephen J. Brown,William N. Goetzmann,Takato Hiraki,et al. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9470.pdf（1214KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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