Can Mutual Fund Achieve Abnormal Return by Catering to Investor Sentiment?

Abstract

Abstract:

Based on the portfolio holdings of mutual funds in China, this paper studies the relationship between fund sentiment sensitivity and fund abnormal returns. The findings show that fund abnormal returns have a concave function relationship with fund sentiment sensitivity, which means that fund abnormal returns is positively correlated with fund sentiment sensitivity before reaching the peak, but negatively correlated with it after the peak point. We also find that the fund sentiment sensitivity has no persistence effect on fund abnormal returns and it is affected by the fund manager's career concern and working experience. Specifically the fund managers with rarely career concern and less working experience are more prone to hold high sentiment sensitivity funds. This paper provides a new perspective for the study of investor sentiment theory in the field of mutual fund investment behavior and performance.

Key words: investor sentiment, sentiment sensitivity, abnormal return

Wang Jue, Chen Yongshuai. Can Mutual Fund Achieve Abnormal Return by Catering to Investor Sentiment?[J]. , 2018, 30(7): 3-15.

References

[1] Baker M., Wurgler J. Investor Sentiment and the Cross-Section of Stock Returns[J]. Journal of Finance, 2006,61(4):1645-1679
[2] Baker M., Wurgler J. Investor Sentiment in the Stock Market[J]. Journal of Economic Perspectives, 2007,21(2):129-151
[3] Gasbarro D., Cullen G., Monroe G. S., et al. Mutual Fund Trades:Timing Sentiment and Managing Tracking Error Variance[J/OL]. Available at SSRN:https://ssrn.com/abstract=2131655, 2012
[4] 刘维奇,刘新新. 个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J]. 管理科学学报, 2014,17(3):70-87
[5] 鹿坪,田甜,姚海鑫. 个人投资者情绪、机构投资者情绪与证券市场指数收益——基于VAR模型的实证分析[J]. 上海金融, 2015,(1):65-70
[6] 申宇,赵静梅,何欣. 基金未公开的信息:隐形交易与投资业绩[J]. 管理世界, 2013,(8):53-66
[7] Kumar A., Niessenruenzi A., Spalt O. G. What's in a Name? Mutual Fund Flows When Managers Have Foreign-Sounding Names[J]. Review of Financial Studies, 2015,28(8):2281-2321
[8] Lee M. C., Shleifer A., Thaler R. H., et al. Investment Sentiment and the Closed-end Fund Puzzle[J]. The Journal of Finance, 1991,46(1):75-109
[9] Saunders E. M. Stock Prices and Wall Street Weather[J]. American Economic Review, 1993,83(5):1337-1345
[10] Hirshleifer D., Shumway T. Good Day Sunshine:Stock Returns and the Weather[J]. The Journal of Finance, 2003,58(3):1009-1032
[11] Goetzmann W. N., Zhu N. Rain or Shine:Where Is the Weather Effect?[J]. European Financial Management, 2005,11(5):559-578
[12] Kamstra M. J., Kramer L. A., Levi M. D. Losing Sleep at the Market:The Daylight-savings Anomaly:Reply[J]. American Eco-nomic Review, 2002,92(4):1257-1263
[13] Edmans A., Garcia D., Norli O. Sports Sentiment and Stock Returns[J]. The Journal of Finance, 2007,62(4):1967-1998
[14] Stambaugh R. F., Yu J., Yuan Y. The Short of It:Investor Sentiment and Anomalies[J]. Journal of Financial Economics, 2012, 104(2):288-302
[15] Antoniou C., Doukas J. A., Subrahmanyam A. Investor Sentiment, Beta, and the Cost of Equity Capital[J]. Management Sci-ence, 2016,62(2):347-368
[16] 王宜峰,王燕鸣. 投资者情绪在资产定价中的作用研究[J]. 管理评论, 2014,26(6):42-55
[17] 文凤华,肖金利,黄创霞,等. 投资者情绪特征对股票价格行为的影响研究[J]. 管理科学学报, 2014,17(3):60-69
[18] 陆静,周媛. 投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析[J]. 中国管理科学, 2015,23(11):21-28
[19] 熊伟,陈浪南. 股票特质波动率、股票收益与投资者情绪[J]. 管理科学, 2015,28(5):106-115
[20] 王博实. 投资者情绪与股票市场的非线性关系研究[J]. 北京邮电大学学报(社会科学版), 2017,19(3):54-63
[21] 宋顺林,唐斯圆. 投资者情绪、承销商行为与IPO定价——基于网下机构询价数据的实证分析[J]. 会计研究, 2016,(2):66-72
[22] 鹿坪,姚海鑫. 机构持股、投资者情绪与应计异象[J]. 管理评论, 2016,28(11):3-15
[23] Massa M., Yadav V. Investor Sentiment and Mutual Fund Strategies[J]. Journal of Financial & Quantitative Analysis, 2015,50(4):699-727
[24] 孟庆斌,吴卫星,于上尧. 基金经理职业忧虑与其投资风格[J]. 经济研究, 2015,(3):115-130
[25] Karmaziene E. Mutual Fund Flows and Investor Sentiment[J/OL]. Available at SSRN:https://ssrn.com/abstract=2828590, 2016
[26] Fama E. F., French K. R. Common Risk Factors in the Returns on Stocks and Bonds[J]. Journal of Financial Economics, 1993, 33(1):3-56
[27] Carhart M. M. On Persistence in Mutual Fund Performance[J]. The Journal of Finance, 1997,52(1):57-82
[28] 肖峻,石劲. 基金业绩与资金流量:我国基金市场存在"赎回异象"吗?[J]. 经济研究, 2011,(1):112-125
[29] 陆蓉,陈百助,徐龙炳,等. 基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究[J]. 经济研究, 2007, (6):39-50