The Sum of All FEARS Investor Sentiment and Asset Prices
利用数百万家庭的日常互联网搜索量，构建FEARS指数衡量市场情绪，发现该指数能预测短期收益反转、波动率暂时上升以及共同基金从股票基金流向债券基金。
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. © 2014 The Author. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.