Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

@article{Frazzini2005DumbMM,
  title={Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns},
  author={Andrea Frazzini and Owen A. Lamont},
  journal={NBER Working Paper Series},
  year={2005}
}
Stock returns and aggregate mutual fund flows: a system approach
To investigate if the mutual fund flows have been a driving factor in the US stock market at the macro level, we combine information from the stock market with information from bond and money markets
Mutual Fund Flows and Investor Sentiment
I show that the shape of flow–performance relationship among open-end funds varies with investor sentiment. This link is stronger when the market tone is optimistic. Cross-sectional comparison
Mutual Fund Flows, Expected Returns, and the Real Economy
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as
Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs
We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated
Sentimental Mutual Fund Flows
We show that many stylized empirical patterns for mutual fund flows are driven by investor sentiment. Specifically, when sentiment is high, investors exhibit a stronger tendency of chasing past fund
The Role of Investor Sentiment in Taiwan Stock Market
Aim of this study is to investigate the relationship between investor sentiment and stock returns in Taiwan stock market. In this manner, we employ consumer confidence index as an investor sentiment
...
...

References

SHOWING 1-10 OF 62 REFERENCES
Aggregate mutual fund flows and security returns
Investor Sentiment and the Cross-Section of Stock Returns
We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
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
Mutual Fund Herding and the Impact on Stock Prices
We analyze the trading activity of the mutual fund industry between 1975 and 1994 to determine whether funds "herd" when they trade stocks and to investigate the impact of herding on stock prices.
Investing in Equity Mutual Funds
We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and
Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability
A previous study finds evidence to support selection ability among active fund investors for equity funds listed in 1982. Using a large sample of equity funds, I find evidence that funds that receive
The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers
Abstract We investigate the value of active mutual fund management by examining the stockholdings and trades of mutual funds. We fine that stocks widely held by funds do not outperform other stocks.
On the Industry Concentration of Actively Managed Equity Mutual Funds
Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses
We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns
The Real Effects of Investor Sentiment
TLDR
It is found that investment is more sensitive to mispricing for firms with higher R&D intensity or share turnover, suggesting that overpriced (underpriced) firms tend to over invest (under invest).
...
...