TY  - JOUR
AU  - Frazzini,Andrea
AU  - Lamont,Owen A.
TI  - Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11526
PY  - 2005
Y2  - August 2005
UR  - http://www.nber.org/papers/w11526
L1  - http://www.nber.org/papers/w11526.pdf
N1  - Author contact info:
Andrea Frazzini
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Tel: 203 742 3894
E-Mail: andrea.frazzini@aqr.com

Owen Lamont
Department of Economics
Harvard University
Cambridge MA 02138
E-Mail: owen.lamont@yale.edu
M2  - featured in NBER digest on 2006-02-01
AB  - We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money  %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is strongly related to the value effect. High sentiment also is associated high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand.
ER  -