Dumb Money: Mutual Fund Flows and the Cross-Section of Stock ReturnsAndrea Frazzini, Owen A. Lamont
NBER Working Paper No. 11526 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 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. A non-technical summary of this paper is available in the February 2006 NBER Digest.
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Machine-readable bibliographic record - MARC, RIS, BibTeX Document Object Identifier (DOI): 10.3386/w11526 Published: Frazzini, Andrea & Lamont, Owen A., 2008. "Dumb money: Mutual fund flows and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 88(2), pages 299-322, May. citation courtesy of Users who downloaded this paper also downloaded* these:
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