EconPapers    
Economics at your fingertips  
 

Risk estimation bias and mutual fund performance

Qiang Bu

Review of Behavioral Finance, 2019, vol. 11, issue 4, 426-440

Abstract: Purpose - The purpose of this paper is to create a quantitative measure that captures the effects of investor sentiment in an objective way. Design/methodology/approach - The author introduced risk estimation bias (REB) to examine the effects of forecasting error of future market volatility on fund alpha. The author also used GARCH to model the volatility of the REB. Findings - The author documented a statistically significant relation between REB and realized market volatility. The author also found that the REB plays a significant role in explaining fund alpha. Originality/value - REB is the first quantitative measure to examine the effects of investor sentiment on risk estimation and fund performance. The GRACH properties of REB provide important information on how investor sentiment fluctuates over time.

Keywords: Market volatility; GARCH; Fund alpha; Risk estimation bias (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.emeraldinsight.com/10.1108/RBF-03-2018- ... RePEc&WT.mc_id=RePEc (text/html)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:rbfpps:rbf-03-2018-0023

Ordering information: This journal article can be ordered from
Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
http://emeraldgroupp ... /journals.htm?id=rbf

Access Statistics for this article

Review of Behavioral Finance is currently edited by Phil Holmes and Robert Hudson

More articles in Review of Behavioral Finance from Emerald Group Publishing
Bibliographic data for series maintained by Virginia Chapman ().

 
Page updated 2021-02-23
Handle: RePEc:eme:rbfpps:rbf-03-2018-0023