We document large variation in the cross-sectional correlation and imbalance of daily mutual fund flows from share classes catering to retail investors, retirement accounts, and financial advisors. Funds with more diversified flows on day t face lower immediacy requirements and outperform funds...

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows,...

We provide a theoretical framework to examine how investor sentiment impacts the mean-variance tradeoff. We derive a sentiment-adjusted Markowitz efficient frontier in which investor sentiment alters the first two moments of asset returns, the minimum-variance frontier as well as the Capital...