Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

References

• Ackermann C, McEnally R, Ravenscraft D (1999) The performance of hedge funds: Risk, return, and incentives. J. Finance 54(3):833–874.Crossref, Google Scholar
• Agarwal V, Naik NY (2004) Risks and portfolio decisions involving hedge funds. Rev. Financial Stud. 17(1):63–98.Crossref, Google Scholar
• Agarwal V, Daniel ND, Naik NY (2009) Role of managerial incentives and discretion in hedge fund performance. J. Finance 64(5):2221–2256.Crossref, Google Scholar
• Agarwal V, Ruenzi S, Weigert F (2017) Tail risk in hedge funds: A unique view from portfolio holdings. J. Financial Econom. 125(3):610–636.Crossref, Google Scholar
• Aggarwal RK, Jorion P (2010) The performance of emerging hedge funds and managers. J. Financial Econom. 96(2):238–256.Crossref, Google Scholar
• Akbas F, Armstrong WJ, Sorescu S, Subrahmanyam A (2015) Smart money, dumb money, and capital market anomalies. J. Financial Econom. 118(2):355–382.Crossref, Google Scholar
• Ali A, Gurun UG (2009) Investor sentiment, accruals anomaly, and accruals management. J. Accounting Auditing Finance 24(3):415–431.Crossref, Google Scholar
• Antoniou C, Doukas JA, Subrahmanyam A (2013) Cognitive dissonance, sentiment, and momentum. J. Financial Quant. Anal. 48(1):245–275.Crossref, Google Scholar
• Antoniou C, Doukas JA, Subrahmanyam A (2015) Investor sentiment, beta, and the cost of equity capital. Management Sci. 62(2):347–367.Link, Google Scholar
• Aragon GO (2007) Share restrictions and asset pricing: Evidence from the hedge fund industry. J. Financial Econom. 83(1):33–58.Crossref, Google Scholar
• Arif S, Lee CMC (2014) Aggregate investment and investor sentiment. Rev. Financial Stud. 27(11):3241–3279.Crossref, Google Scholar
• Asness CS, Krail RJ, Liew JM (2001) Do hedge funds hedge? J. Portfolio Management 28(1):6–19.Crossref, Google Scholar
• Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
• Baker M, Wurgler J (2007) Investor sentiment in the stock market. J. Econom. Perspect. 21(2):129–152.Crossref, Google Scholar
• Baker M, Wurgler J, Yuan Y (2012) Global, local, and contagious investor sentiment. J. Financial Econom. 104(2):272–287.Crossref, Google Scholar
• Bali TG, Brown SJ, Caglayan MO (2012) Systematic risk and the cross section of hedge fund returns. J. Financial Econom. 106(1):114–131.Crossref, Google Scholar
• Bali TG, Brown SJ, Caglayan MO (2014) Macroeconomic risk and hedge fund returns. J. Financial Econom. 114(1):1–19.Crossref, Google Scholar
• Bali TG, Cakici N, Whitelaw RF (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.Crossref, Google Scholar
• Barber BM, Odean T, Zhu N (2008) Do retail trades move markets? Rev. Financial Stud. 22(1):151–186.Crossref, Google Scholar
• Barber BM, Odean T, Zhu N (2009) Systematic noise. J. Financial Markets 12(4):547–569.Crossref, Google Scholar
• Beckett P (1998) Large investors face stiff rules on SEC filings. Wall Street Journal (June 19), C26.Google Scholar
• Ben-Rephael A, Kandel S, Wohl A (2012) Measuring investor sentiment with mutual fund flows. J. Financial Econom. 104(2):363–382.Crossref, Google Scholar
• Boguth O, Simutin M (2018) Leverage constraints and asset prices: Insights from mutual fund risk taking. J. Financial Econom. 127(2):325–341.Crossref, Google Scholar
• Boyson NM (2010) Implicit incentives and reputational herding by hedge fund managers. J. Empirical Finance 17(3):283–299.Crossref, Google Scholar
• Brown NC, Christensen TE, Elliott WB, Mergenthaler RD (2012a) Investor sentiment and pro forma earnings disclosures. J. Accounting Res. 50(1):1–40.Crossref, Google Scholar
• Brown S, Goetzmann W, Liang B, Schwarz C (2012b) Trust and delegation. J. Financial Econom. 103(2):221–234.Crossref, Google Scholar
• Brunnermeier MK, Nagel S (2004) Hedge funds and the technology bubble. J. Finance 59(5):2013–2040.Crossref, Google Scholar
• Buraschi A, Kosowski R, Sritrakul W (2014) Incentives and endogenous risk taking: A structural view on hedge fund alphas. J. Finance 69(6):2819–2870.Crossref, Google Scholar
• Busse JA, Jiang L, Tang Y (2021) Double-adjusted mutual fund performance. Rev. Asset Pricing Stud. 11(1):169–208.Crossref, Google Scholar
• Cai B, Cheng T, Yan C (2018) Time-varying skills (vs. luck) in us active mutual funds and hedge funds. J. Empirical Finance 49:81–106.Crossref, Google Scholar
• Cao C, Petrasek L (2014) Liquidity risk and institutional ownership. J. Financial Markets 21:76–97.Crossref, Google Scholar
• Cao C, Chen Y, Goetzmann WN, Liang B (2018a) Hedge funds and stock price formation. Financial Anal. J. 74(3):54–68.Crossref, Google Scholar
• Cao C, Chen Y, Liang B, Lo AW (2013) Can hedge funds time market liquidity? J. Financial Econom. 109(2):493–516.Crossref, Google Scholar
• Cao C, Liang B, Lo AW, Petrasek L (2018b) Hedge fund holdings and stock market efficiency. Rev. Asset Pricing Stud. 8(1):77–116.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
• Chelley-Steeley P, Lambertides N, Savva CS (2019) Sentiment, order imbalance, and co-movement: An examination of shocks to retail and institutional trading activity. Eur. Financial Management 25(1):116–159.Crossref, Google Scholar
• Chen Y (2007) Timing ability in the focus market of hedge funds. J. Investment Management 5(2):66–98.Google Scholar
• Chen Y (2011) Derivatives use and risk taking: Evidence from the hedge fund industry. J. Financial Quant. Anal. 46(4):1073–1106.Crossref, Google Scholar
• Chen Y, Liang B (2007) Do market timing hedge funds time the market? J. Financial Quant. Anal. 42(4):827–856.Crossref, Google Scholar
• Chen N-F, Roll R, Ross SA (1986) Economic forces and the stock market. J. Bus. 59(3):383–403.Crossref, Google Scholar
• Chen Y, Cliff M, Zhao H (2017) Hedge funds: The good, the bad, and the lucky. J. Financial Quant. Anal. 52(3):1081–1109.Crossref, Google Scholar
• Chen Y, Da Z, Huang D (2019) Arbitrage trading: The long and the short of it. Rev. Financial Stud. 32(4):1608–1646.Crossref, Google Scholar
• Chen Y, Ferson W, Peters H (2010) Measuring the timing ability and performance of bond mutual funds. J. Financial Econom. 98(2):72–89.Crossref, Google Scholar
• Chen Y, Han B, Pan J (2021) Sentiment trading and hedge fund returns. J. Finance 76(4):2001–2033.Crossref, Google Scholar
• Chen Y, Kelly B, Wu W (2020) Sophisticated investors and market efficiency: Evidence from a natural experiment. J. Financial Econom. 138(2):316–341.Crossref, Google Scholar
• Chen Z, Liu B, Wang H, Wang Z, Yu J (2023a) Characteristics-based factors. Working paper, Tsinghua University, Beijing.Google Scholar
• Chen Z, Liu B, Wang H, Wang Z, Yu J (2023b) Investor sentiment and the pricing of characteristics-based factors. Working paper, Tsinghua University, Beijing.Google Scholar
• Christoffersen SEK, Simutin M (2017) On the demand for high-beta stocks: Evidence from mutual funds. Rev. Financial Stud. 30(8):2596–2620.Crossref, Google Scholar
• Chung S-L, Hung C-H, Yeh C-Y (2012) When does investor sentiment predict stock returns? J. Empirical Finance 19(2):217–240.Crossref, Google Scholar
• Cong LW, Xiao Y (2022) Persistent blessings of luck: Theory and an application to venture capital. Rev. Financial Stud. 35(3):1183–1221.Crossref, Google Scholar
• Cong LW, Huang S, Xu D (2024) The rise of factor investing: “Passive” security design and market implications. Working paper, Cornell University, Ithaca, NY.Google Scholar
• Cornell B, Landsman WR, Stubben S (2011) Do institutional investors and security analysts mitigate the effects of investor sentiment? Working paper, UCLA, Los Angeles.Google Scholar
• DeVault L, Sias R, Starks L (2019) Sentiment metrics and investor demand. J. Finance 74(2):985–1024.Crossref, Google Scholar
• Dong X, Feng S, Sadka R (2019) Liquidity risk and mutual fund performance. Management Sci. 65(3):1020–1041.Link, Google Scholar
• Edelen RM, Ince OS, Kadlec GB (2016) Institutional investors and stock return anomalies. J. Financial Econom. 119(3):472–488.Crossref, Google Scholar
• Evans RB (2010) Mutual fund incubation. J. Finance 65(4):1581–1611.Crossref, Google Scholar
• Fama EF, French KR (1989) Business conditions and expected returns on stocks and bonds. J. Financial Econom. 25(1):23–49.Crossref, Google Scholar
• Fama EF, Gibbons MR (1984) A comparison of inflation forecasts. J. Monetary Econom. 13(3):327–348.Crossref, Google Scholar
• Fung W, Hsieh DA (1997) Empirical characteristics of dynamic trading strategies: The case of hedge funds. Rev. Financial Stud. 10(2):275–302.Crossref, Google Scholar
• Fung W, Hsieh DA (2001) The risk in hedge fund strategies: Theory and evidence from trend followers. Rev. Financial Stud. 14(2):313–341.Crossref, Google Scholar
• Fung W, Hsieh DA (2004) Hedge fund benchmarks: A risk-based approach. Financial Anal. J. 60(5):65–80.Crossref, Google Scholar
• Fung W, Hsieh DA, Naik NY, Ramadorai T (2008) Hedge funds: Performance, risk, and capital formation. J. Finance 63(4):1777–1803.Crossref, Google Scholar
• Gao GP, Gao P, Song Z (2018) Do hedge funds exploit rare disaster concerns? Rev. Financial Stud. 31(7):2650–2692.Crossref, Google Scholar
• Gao Z, Luo J, Ren H, Zhang B (2023) Institutional investors and market sentiment: A revisit. Working paper, The Chinese University of Hong Kong, Hong Kong.Google Scholar
• Getmansky M, Lo AW, Makarov I (2004) An econometric model of serial correlation and illiquidity in hedge fund returns. J. Financial Econom. 74(3):529–609.Crossref, Google Scholar
• Glosten LR, Jagannathan R (1994) A contingent claim approach to performance evaluation. J. Empirical Finance 1(2):133–160.Crossref, Google Scholar
• Goetzmann WN, Ingersoll JE, Ross SA (2003) High-water marks and hedge fund management contracts. J. Finance 58(4):1685–1718.Crossref, Google Scholar
• Golez B, Jackwerth JC, Slavutskaya A (2018) Funding illiquidity implied by S&P 500 derivatives. Working paper, University of Notre Dame, South Bend, IN.Google Scholar
• Gompers PA, Metrick A (2001) Institutional investors and equity prices. Quart. J. Econom. 116(1):229–259.Crossref, Google Scholar
• Griffin JM, Xu J (2009) How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financial Stud. 22(7):2531–2570.Crossref, Google Scholar
• Hribar P, McInnis J (2012) Investor sentiment and analysts’ earnings forecast errors. Management Sci. 58(2):293–307.Link, Google Scholar
• Hribar P, Quinn PJ (2013) Managers and investor sentiment. Working paper, University of Iowa, Iowa City, IA.Google Scholar
• Hu GX, Pan J, Wang J (2013) Noise as information for illiquidity. J. Finance 68(6):2341–2382.Crossref, Google Scholar
• Huang S, Liu X, Lou D, Polk C (2023) The booms and busts of beta arbitrage. Management Sci., ePub ahead of print September 26, https://doi.org/10.1287/mnsc.2023.4929.Google Scholar
• Huang D, Jiang F, Tu J, Zhou G (2015) Investor sentiment aligned: A powerful predictor of stock returns. Rev. Financial Stud. 28(3):791–837.Crossref, Google Scholar
• Jagannathan R, Malakhov A, Novikov D (2010) Do hot hands exist among hedge fund managers? An empirical evaluation. J. Finance 65(1):217–255.Crossref, Google Scholar
• Jame R (2018) Liquidity provision and the cross section of hedge fund returns. Management Sci. 64(7):3288–3312.Link, Google Scholar
• Jiao Y, Massa M, Zhang H (2016) Short selling meets hedge fund 13f: An anatomy of informed demand. J. Financial Econom. 122(3):544–567.Crossref, Google Scholar
• Jylhä P, Rinne K, Suominen M (2014) Do hedge funds supply or demand liquidity? Rev. Finance 18(4):1259–1298.Crossref, Google Scholar
• Kacperczyk M, Sialm C, Zheng L (2008) Unobserved actions of mutual funds. Rev. Financial Stud. 21(6):2379–2416.Crossref, Google Scholar
• Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.Crossref, Google Scholar
• Keim DB, Stambaugh RF (1986) Predicting returns in the stock and bond markets. J. Financial Econom. 17(2):357–390.Crossref, Google Scholar
• Kosowski R, Naik NY, Teo M (2007) Do hedge funds deliver alpha? A Bayesian and bootstrap analysis. J. Financial Econom. 84(1):229–264.Crossref, Google Scholar
• Kumar A, Lee CMC (2006) Retail investor sentiment and return comovements. J. Finance 61(5):2451–2486.Crossref, Google Scholar
• Lee CMC, Shleifer A, Thaler RH (1991) Investor sentiment and the closed-end fund puzzle. J. Finance 46(1):75–109.Crossref, Google Scholar
• Lemmon M, Portniaguina E (2006) Consumer confidence and asset prices: Some empirical evidence. Rev. Financial Stud. 19(4):1499–1529.Crossref, Google Scholar
• Li X, Luo D (2017) Investor sentiment, limited arbitrage, and the cash holding effect. Rev. Finance 21(6):2141–2168.Google Scholar
• Lim J, Sensoy BA, Weisbach MS (2016) Indirect incentives of hedge fund managers. J. Finance 71(2):871–918.Crossref, Google Scholar
• Livnat J, Petrovits C (2019) Investor sentiment, post-earnings announcement drift, and accruals. J. Appl. Bus. Econom. 21(8):67–80.Google Scholar
• Lou D (2012) A flow-based explanation for return predictability. Rev. Financial Stud. 25(12):3457–3489.Crossref, Google Scholar
• McLean RD, Zhao M (2014) The business cycle, investor sentiment, and costly external finance. J. Finance 69(3):1377–1409.Crossref, Google Scholar
• Merton R (1973) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.Crossref, Google Scholar
• Mian GM, Sankaraguruswamy S (2012) Investor sentiment and stock market response to earnings news. Accounting Rev. 87(4):1357–1384.Crossref, Google Scholar
• Neal R, Wheatley SM (1998) Do measures of investor sentiment predict returns? J. Financial Quant. Anal. 33(4):523–547.Crossref, Google Scholar
• Osinga AJ, Schauten MBJ, Zwinkels RCJ (2021) Timing is money: The factor timing ability of hedge fund managers. J. Empirical Finance 62:266–281.Crossref, Google Scholar
• Sadka R (2010) Liquidity risk and the cross-section of hedge-fund returns. J. Financial Econom. 98(1):54–71.Crossref, Google Scholar
• Schmeling M (2009) Investor sentiment and stock returns: Some international evidence. J. Empirical Finance 16(3):394–408.Crossref, Google Scholar
• Shen J, Yu J, Zhao S (2017) Investor sentiment and economic forces. J. Monetary Econom. 86:1–21.Crossref, Google Scholar
• Shin J-S, Kim M, Oh D, Kim TS (2019) Do hedge funds time market tail risk? Evidence from option-implied tail risk. J. Futures Markets 39(2):205–237.Crossref, Google Scholar
• Simpson A (2013) Does investor sentiment affect earnings management? J. Bus. Finance Accounting 40(7–8):869–900.Crossref, Google Scholar
• Smith DM, Wang N, Wang Y, Zychowicz EJ (2016) Sentiment and the effectiveness of technical analysis: Evidence from the hedge fund industry. J. Financial Quant. Anal. 51(6):1991–2013.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
• Stambaugh RF, Yu J, Yuan Y (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J. Finance 70(5):1903–1948.Crossref, Google Scholar
• Teo M (2011) The liquidity risk of liquid hedge funds. J. Financial Econom. 100(1):24–44.Crossref, Google Scholar
• U.S. Securities and Exchange Commission (1998) Section 13(f) confidential treatment requests. U.S. Securities and Exchange Commission (June 17), https://www.sec.gov/investment/divisionsinvestmentguidance13fpt2htm.Google Scholar
• Yin C (2016) The optimal size of hedge funds: Conflict between investors and fund managers. J. Finance 71(4):1857–1894.Crossref, Google Scholar
• Yu J (2013) A sentiment-based explanation of the forward premium puzzle. J. Monetary Econom. 60(4):474–491.Crossref, Google Scholar
• Yu J, Yuan Y (2011) Investor sentiment and the mean–variance relation. J. Financial Econom. 100(2):367–381.Crossref, Google Scholar