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
相关论文
共 50 条
  • [31] Time-varying skills (versus luck) in US active mutual funds and hedge funds
    Cai, Biqing
    Cheng, Tingting
    Yan, Cheng
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2018, 49 : 81 - 106
  • [32] Cointegrated market-neutral strategy for basket trading
    Yu, Philip L. H.
    Lu, Renjie
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 49 : 112 - 124
  • [33] TGM TO DEBUT UNIQUE MARKET-NEUTRAL FUND
    Murray, Robert
    [J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2009, 11 (04): : 104 - 104
  • [34] Determinants of time-varying equity risk premia in an emerging market
    Candemir, Isil
    Karahan, Cenk C.
    [J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2024, 19 (06) : 1492 - 1520
  • [35] VOLATILITY AND TIME-VARYING RISK PREMIUMS IN THE STOCK-MARKET
    STENIUS, M
    [J]. APPLIED ECONOMICS, 1991, 23 (1A) : 41 - 47
  • [36] Time-varying risk attitude and the foreign exchange market behavior
    Zhang, Qian
    Li, Zeguang
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2021, 57
  • [37] Market regimes, sectorial investments, and time-varying risk premiums
    Liu, Peixin
    Xu, Kuan
    Zhao, Yonggan
    [J]. INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2011, 7 (02) : 107 - +
  • [38] Investor sentiment and risk appetite of real estate security market
    Hui, Eddie Chi-man
    Zheng, Xian
    Wang, Hui
    [J]. APPLIED ECONOMICS, 2013, 45 (19) : 2801 - 2807
  • [39] The impact of individual and institutional investor sentiment on the market price of risk
    Verma, Rahul
    Soydemir, Gokce
    [J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2009, 49 (03): : 1129 - 1145
  • [40] Investor sentiment and the risk-return tradeoff in the Brazilian market
    Piccoli, Pedro
    da Costa, Newton C. A., Jr.
    da Silva, Wesley Vieira
    Cruz, June A. W.
    [J]. ACCOUNTING AND FINANCE, 2018, 58 : 599 - 618
12345