Investor Sentiment and Time-Varying Market Risk in Market-Neutral Hedge Funds

被引：3

作者：

Peltomaki, Jarkko ^{[1
]}

机构：

[1] Univ Vaasa, Dept Accounting & Finance, FIN-65101 Vaasa, Finland

来源：

JOURNAL OF BEHAVIORAL FINANCE | 2009年 / 10卷 / 04期

关键词：

Hedge funds; Investor sentiment;

D O I：

10.1080/15427560903372841

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether market risk in market-neutral hedge funds is associated with investor sentiment. It is expected that market risk of these hedge funds depends on investor sentiment caused by return-chasing behavior of investors. The results provide support for this expectation, and thus the risk in the market neutral hedge fund strategy caters to investors' preferences. The exposure of market-neutral hedge funds to commonly used empirical risk factors is also altered by investor sentiment.

引用

页码：226 / 233

页数：8

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