Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

• 成果类型: Article
• 署名作者: Chen, Zhuo; Lu, Andrea; Zhu, Xiaoquan
• 署名单位: Tsinghua University; University of Melbourne; University of International Business & Economics
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.02792
• 发表日期: 2025
• 关键词: HEDGE FUNDS; macroeconomic risks; Sentiment

摘要

Hedge funds with larger macroeconomic-risk betas do not earn higher returns, in contrast to the theoretically predicted risk-return trade-off. Meanwhile, high macrobeta funds deliver higher returns than low macro-beta funds following a low-sentiment period, whereas the risk-return relation is flat following a high-sentiment period. We show that the sophisticated management of hedge funds explains this pattern. The relation between funds' macro-risk betas and the timing abilities/investor flows is sentiment dependent, and such variation likely drives the contrasting beta-return trade-offs after high- and low-sentiment periods. A similar pattern is also observed in mutual funds.