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

  • Steven J. Brown

    ()

    (NYU Stern School of Business)

  • William N. Goetzmann

    ()

    (Yale School of Management, International Center for Finance)

  • Takato Hiraki

    ()

    (International University of Japan - Graduate School of International Managemen)

  • Niroyoshi Shiraishi

    ()

    (Rikkyo University - School of Social Relations)

  • Masahiro Watanabe

    ()

    (Rice University - Jesse H. Jones Graduate School of Management)

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

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm24.

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Date of creation: 01 Sep 2002
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Handle: RePEc:ysm:somwrk:ysm24
Contact details of provider: Web page: http://icf.som.yale.edu/

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