Sentiment Trading and Hedge Fund Returns

• 成果类型: Article
• 署名作者: Chen, Yong; Han, Bing; Pan, Jing
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Toronto; Southern Methodist University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13025
• 发表日期: 2021
• 页码: 2001-2033
• 关键词: Investor sentiment; cross-section; SMART MONEY; RISK; MARKET; performance; equilibrium; strategies; time

摘要

In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk-adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill that positively correlates with fund sentiment beta and contributes to fund performance. Our findings show that skilled hedge funds can earn high returns by predicting and exploiting sentiment changes rather than betting against mispricing.