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
收藏
页码：226 / 233
页数：8
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