Investor Sentiment and Mutual Fund Alpha

Research output: Contribution to journalArticle

Abstract

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 languageEnglish (US)
Pages (from-to)57-65
Number of pages9
JournalJournal of Behavioral Finance
Volume21
Issue number1
DOIs
StatePublished - Jan 2 2020

Fingerprint

Benchmarking
Financial Management
Mutual funds
Investor sentiment
Benchmark

All Science Journal Classification (ASJC) codes

  • Experimental and Cognitive Psychology
  • Finance

Cite this

@article{1a5b7ef7f5d844859d7f2aa1f7241f47,
title = "Investor Sentiment and Mutual Fund Alpha",
abstract = "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.",
author = "Qiang Bu",
year = "2020",
month = "1",
day = "2",
doi = "10.1080/15427560.2019.1594814",
language = "English (US)",
volume = "21",
pages = "57--65",
journal = "Journal of Behavioral Finance",
issn = "1542-7560",
publisher = "Taylor and Francis Ltd.",
number = "1",

}

Investor Sentiment and Mutual Fund Alpha. / Bu, Qiang.

In: Journal of Behavioral Finance, Vol. 21, No. 1, 02.01.2020, p. 57-65.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Investor Sentiment and Mutual Fund Alpha

AU - Bu, Qiang

PY - 2020/1/2

Y1 - 2020/1/2

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85065716289&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85065716289&partnerID=8YFLogxK

U2 - 10.1080/15427560.2019.1594814

DO - 10.1080/15427560.2019.1594814

M3 - Article

AN - SCOPUS:85065716289

VL - 21

SP - 57

EP - 65

JO - Journal of Behavioral Finance

JF - Journal of Behavioral Finance

SN - 1542-7560

IS - 1

ER -