Investor Sentiment and Mutual Fund Strategies
研究发现共同基金根据市场情绪调整投资策略，构建了基金情绪贝塔指标，低情绪贝塔基金年化超额收益达3.8%，且该策略是基金经理的主动选择。
Abstract We show that mutual funds employ portfolio strategies based on market sentiment. We build a proxy for the degree of a fund’s sentiment beta (or FSB). The low-FSB funds outperform high-FSB funds, even after controlling for standard risk factors and fund characteristics. This effect is sizable and delivers a net-of-risk performance of 3.8% per year. Funds with a lower FSB follow more idiosyncratic strategies, suggesting that FSB is a deliberate, active choice of the fund manager. A sentiment contrarian strategy leads to high flows due to its superior performance, whereas a sentiment catering strategy fails to attract significant investor flows.