Empirical Studies on Japanese Daily Mutual Fund Flows and Investor Sentiment

在按风格分析每日共同基金流量的基础上，我们提取了三个不同但可合理解释的情绪因素，并将其应用到单一的全市场情绪中，有效地解释了股票收益横截面。这一结果对于在月度频率和其他资产类别中使用不同于股票的数据集是稳健的。

Based on the analysis of daily mutual fund flows by style, we extract three differently but reasonably interpretable sentiment factors and are able to apply them to derive the single market-wide sentiment which effectively explains equity return cross-section. This result is robust to the use of differently data sets in monthly frequency and other asset classes than equity.