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

By Stephen J. Brown, Will Goetzmann, Takatoshi Hiraki, Noriyoshi Shiraishi, Masahiro Watanabe. 2002

126 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6254e8a334262c1e7ecfd865cda0ad364dd5c773

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Citations in the corpus

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns (2008, background): “B. Causal effects of flows on prices There is evidence that fund flows have positively contemporaneous correlations with stock returns (see, for example, Brown et al (2002)).”
The Sum of All FEARS: Investor Sentiment and Asset Prices (2015, unknown): “flows to mutual fund groups likely aggregate noise trading at the asset class level (Brown et al. (2002)). Daily mutual fund flow data are obtained from TrimTabs for two groups of mutual funds that specialize in equity (Equity) and intermediate treasury bonds (MTB). Bollerslev and Jubinski (1999) an”
Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, background): “Focusing on other financial markets, Wang (2001, 2003) analyze the sentiment effect in the futures market, Han (2008), and Lemmon and Ni (2011) in the options market, Ahn et al. (2002) in the currency market and Burghardt et al. (2008) and Schmitz et al. (2009) in the warrants market.”
Investor Sentiment, Limits to Arbitrage and Private Market Returns (2014, background): “Finally, Brown et al. (2002) and Frazzini and Lamont (2008) suggest that flows into, and out of, mutual funds proxy for investor sentiment.”
Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks (2012, unknown): “The exercise is close in spirit to those of Goetzmann, Massa, and Rouwenhorst (2000) and Brown, Goetzmann, Hiraki, Shiraishi, and Watanabe (2005).”
Rain or Shine: Where is the Weather Effect? (2005, unknown): “This provides some support for the Brown et al. (2002) argument that daily mutual fund flows may proxy for investor sentiment.”
Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment (2009, unknown): “More specifically, following Brown et al. (2002), Brown and Cliff (2004) and Baker and Wurgler (2006), we construct an index of investor sentiment towards commercial real estate investment based on the common variation in a number of proxies for sentiment.”