Investor Sentiment and the Pricing of Characteristics-Based Factors
研究发现特征因子高贝塔组合在情绪高涨期收益更高，情绪低落期则相反，且该模式与宏观因子完全相反，表明特征因子暴露更多反映错误定价。
Abstract 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.