The author examines the relationship between investor sentiment and mutual fund alpha. The author finds that investor sentiment plays a significant role in the value and occurring probability of alpha and the probability of earning alpha is high when investor sentiment gets higher. Also, the author finds that a benchmark model adjusted by investor sentiment can significantly reduce the occurring probability of fund alpha. Overall investor sentiment is an essential factor missing in extant benchmark models. A robustness check confirms this finding.
|Original language||English (US)|
|Number of pages||9|
|Journal||Journal of Behavioral Finance|
|State||Published - Jan 2 2020|
All Science Journal Classification (ASJC) codes
- Experimental and Cognitive Psychology