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

Author

Listed:
  • 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)

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

Suggested Citation

  • Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
    • Handle: RePEc:ysm:somwrk:ysm24
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    JEL classification:

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

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