TY  - JOUR
AU  - Brown,Stephen J.
AU  - Goetzmann,William N.
AU  - Hiraki,Takato
AU  - Shirishi,Noriyoshi
AU  - Watanabe,Masahiro
TI  - Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9470
PY  - 2003
Y2  - February 2003
UR  - http://www.nber.org/papers/w9470
L1  - http://www.nber.org/papers/w9470.pdf
N1  - Author contact info:
Stephen J. Brown
Stern School of Business
New York University
New York, NY 10012
Tel: 718 273 0317
Fax: 718 981 7239
E-Mail: sbrown@stern.nyu.edu

William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu

Masahiro Watanabe
Rice University
E-Mail: watanabe@rice.edu
AB  - 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  Bull' and  Bear' domestic funds. The flows to bear foreign funds in Japan display some evidence of negative correlation to domestic and foreign equity funds, suggesting that there is a foreign vs. domestic sentiment factor in Japan that does not appear in the contemporaneous U.S. data. By contrast, U.S. mutual fund investors appear to regard domestic and foreign equity mutual funds as economic substitutes.
ER  -