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Investor Sentiment and Mutual Fund Alpha

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  • Qiang Bu

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.

Suggested Citation

  • Qiang Bu, 2020. "Investor Sentiment and Mutual Fund Alpha," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(1), pages 57-65, January.
    • Handle: RePEc:taf:hbhfxx:v:21:y:2020:i:1:p:57-65
    DOI: 10.1080/15427560.2019.1594814
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    Cited by:

    1. Qiang Bu & Odd J. Stalebrink, 2020. "Can fund sentiment beta predict future performance?," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 524-534, October.

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