Investor Sentiment and Mutual Fund Alpha. Issue 1 (2nd January 2020)

• Record Type: Journal Article
• Authors: Bu, Qiang
• Is Part Of: Journal of behavioral finance. Volume 21:Issue 1(2020)
• Page Start: 57
• Page End: 65
• Publication Date: 2020-01-02
• Subjects: Fund alpha -- Occurring probability -- Sentiment indexes -- Sentiment-adjusted model; Capital market -- Psychological aspects -- Periodicals; Finance -- Psychological aspects -- Periodicals; 332.019
• DOI: 10.1080/15427560.2019.1594814
• Languages: English
• ISSNs: 1542-7560

Abstract

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.