Sentiment hedging: How hedge funds adjust their exposure to market sentiment

被引:32
作者
Zheng, Yao [1 ]
Osmer, Eric [1 ]
Zhang, Ruiyi [2 ]
机构
[1] Northern Illinois Univ, De Kalb, IL 60115 USA
[2] Florida State Univ, Tallahassee, FL 32306 USA
关键词
Hedge funds; Market sentiment; Fund age; Fund size; Incentive fees; MUTUAL FUNDS; INVESTMENT PERFORMANCE; BOOTSTRAP ANALYSIS; CROSS-SECTION; STOCK RETURNS; TIME; RISK; LIQUIDITY; STRATEGIES; BUBBLE;
D O I
10.1016/j.jbankfin.2017.11.016
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We investigate a new facet of hedging ability among hedge fund managers. Using a sentiment exposure model, we find evidence that fund managers adjust the market exposure of their portfolios to changes in market sentiment. Out-of-sample evidence indicates that hedge funds having the highest negative sentiment exposure outperform funds having the highest positive sentiment exposure by 1.7%-2.4% per year. The results remain persistent for both the sub-period analysis and the analysis excluding crisis periods. We also find that a hedge fund's willingness to take on sentiment exposure decreases with fund age and fund size and increases with incentive fees. Our findings remain robust even after controlling for hedge fund data biases, as well as using alternative sentiment measures. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码:147 / 160
页数:14
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