Investor Sentiment and the Pricing of Characteristics-Based Factors

• 成果类型: Article
• 署名作者: Chen, Zhuo; Liu, Bibo; Wang, Huijun; Wang, Zhengwei; Yu, Jianfeng
• 署名单位: Tsinghua University; Auburn University System; Auburn University; Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf053
• 发表日期: 2025-12
• 页码: 3580-3625
• 关键词: G12; mutual fund performance; cross-section; SHORT-SALES; consumer confidence; STOCK; MARKET; RISK; restrictions; arbitrage; predictability

摘要

Previous research has revealed that return spreads between stocks with high and low characteristics-based factor beta remain insignificant. This study investigates the time variation in the pricing of various characteristics-based factors, uncovering a notable two-regime pattern: high-beta portfolios yield higher returns than low-beta portfolios after high-sentiment periods, while the opposite occurs after low-sentiment periods. Remarkably, this two-regime pattern is completely reversed for macro factors. Mutual fund and hedge fund returns corroborate these findings. Our results suggest that exposure to characteristics-based factors likely represents mispricing levels, particularly during high-sentiment periods, whereas exposure to macro factors likely represents risk, particularly during low-sentiment periods.