The Sum of All FEARS Investor Sentiment and Asset Prices

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ID: 295425
2014
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Abstract
We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., �recession,� �unemployment,� and �bankruptcy�), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows out of equity funds and into bond funds. Taken together, the results are broadly consistent with theories of investor sentiment.
Reference Key
openalex_W3122183745 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Zhi Da, Joseph Engelberg, Pengjie Gao
Journal review of financial studies
Year 2014
DOI
10.1093/rfs/hhu072
URL
https://doi.org/10.1093/rfs/hhu072
Keywords Keywords not found

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