Measuring Investor Sentiment with Mutual Fund Flows
Author | : Azi Ben-Rephael |
Publisher | : |
Total Pages | : 59 |
Release | : 2011 |
ISBN-10 | : OCLC:1290787134 |
ISBN-13 | : |
Rating | : 4/5 (34 Downloads) |
Book excerpt: 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 quot;noisequot; in aggregate market prices induced by investor sentiment.