TY - JOUR
T1 - Investor Sentiment and Mutual Fund Alpha
AU - Bu, Qiang
N1 - Publisher Copyright:
© 2019, © 2019 The Institute of Behavioral Finance.
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.
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U2 - 10.1080/15427560.2019.1594814
DO - 10.1080/15427560.2019.1594814
M3 - Article
AN - SCOPUS:85065716289
SN - 1542-7560
VL - 21
SP - 57
EP - 65
JO - Journal of Behavioral Finance
JF - Journal of Behavioral Finance
IS - 1
ER -