Investor Sentiment and Mutual Fund Alpha

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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

All Science Journal Classification (ASJC) codes

  • Experimental and Cognitive Psychology
  • Finance

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