Investor Sentiment and Mutual Fund Alpha

Qiang Bu

Journal of Behavioral Finance, 2020, vol. 21, issue 1, 57-65

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.

Date: 2020
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DOI: 10.1080/15427560.2019.1594814

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