學術產出-Theses
Article View/Open
Publication Export
-
題名 公司債共同基金是否具有市場情緒擇時能力？
Can Corporate Bond Mutual Funds Time Market Sentiment?作者 呂學靖
Lu, Hsueh-Ching貢獻者 林建秀<br>岳夢蘭
Ling, Chien-Hsiu<br>Yueh, Meng-Lan
呂學靖
Lu, Hsueh-Ching關鍵詞 公司債共同基金
投資者情緒
情緒擇時
基金特徵
Corporate bond mutual funds
Investor sentiment
Sentiment timing
Fund characteristics日期 2023 上傳時間 6-Jul-2023 16:44:26 (UTC+8) 摘要 本研究探討公司債共同基金對市場情緒的擇時能力，以Fama and French (1993) 五因子模型推導公司債共同基金的情緒擇時模型，實證結果顯示個別基金會根據市場情緒的高低調整系統性風險。若依基金類別單獨檢視，對市場情緒避險的投資級公司債共同基金展現較佳的績效，而高情緒曝險的高收益債券共同基金賺取較高的風險調整報酬。此外，公司債共同基金對市場情緒的曝險程度，隨基金年限與基金費用率而增加，而高情緒曝險的基金吸引較少的基金流量。為更進一步分析基金的擇時策略與相應的投資績效，本研究亦根據 (1)2008年金融海嘯事件與 (2)市場情緒高低進行子樣本分析。在金融海嘯發生前，投資級公司債共同基金面對上升的市場情緒時，傾向於提高基金的系統性風險，但金融海嘯過後多數的基金選擇對市場情緒進行避險，並且低情緒曝險的基金始能賺取較高的風險調整報酬。分市場情緒高低的子樣本分析則顯示，當市場處於高情緒狀態時，高收益債券共同基金容易受到投資情緒的影響而加入追逐市場情緒的行列，不過相較於低市場情緒狀態，高低情緒曝險基金投組縮小的績效差異，說明此時利用價格泡沫 (ridding the bubble) 的交易策略未能帶來較佳的績效。
This paper examines the ability of corporate bond mutual funds to time aggregate investor sentiment. We develop a sentiment exposure model for corporate bond funds based on the five-factor model proposed by Fama and French (1993). The evidence at individual fund level suggests fund managers adjust their portfolios’ exposure to changes in market sentiment. By funds’ investment objective, we find that investment-grade bond funds with low sentiment exposure demonstrate superior performance, and that high-yield bond funds with high sentiment exposure earn higher risk-adjusted return. Moreover, our result shows the tendency of a corporate bond fund to chase sentiment increases with fund age and fund fees and decrease with fund flows.To further investigate the sentiment timing strategies and the corresponding fund performance, we split the full sample into two subsamples according to (1) the 2008 Financial Crisis and (2) the sentiment level. In the first setting, we find that investment-grade bond funds tend to chase sentiment before the Financial Crisis but opt to hedge against it thereafter. Moreover, low-sentiment-exposure funds significantly outperform high-sentiment-exposure funds after the Financial Crisis. The analysis in the second setting indicates more high-yield bond funds join the side of sentiment chasers during high sentiment periods. In contrast to the return spread between high- and low-sentiment-exposure funds in low sentiment periods, the narrowing return spread implies this bubble-riding type of sentiment trading doesn’t pay off for them.參考文獻 Admati, A. R., Bhattacharya, S., Pfleiderer, P., & Ross, S. A. (1986). On timing and selectivity. The Journal of finance, 41(3), 715-730.Audrino, F., & Offner, E. (2022). The impact of macroeconomic news sentiment on interest rates. SSRN Electronic Journal. Retrieved from https://ssrn.com/abstract=4170954Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of finance, 61(4), 1645-1680.Becker, C., Ferson, W., Myers, D. H., & Schill, M. J. (1999). Conditional market timing with benchmark investors. Journal of Financial Economics, 52(1), 119-148.Blake, C. R., Elton, E. J., & Gruber, M. J. (1993). The performance of bond mutual funds. Journal of business, 371-403.Bollen, N. P., & Busse, J. A. (2001). On the timing ability of mutual fund managers. The Journal of finance, 56(3), 1075-1094.Boney, V., Comer, G., & Kelly, L. (2009). Timing the investment grade securities market: Evidence from high quality bond funds. Journal of Empirical Finance, 16(1), 55-69.Brunnermeier, M. K., & Nagel, S. (2004). Hedge funds and the technology bubble. The Journal of finance, 59(5), 2013-2040.Bu, Q. (2020). Investor sentiment and mutual fund alpha. Journal of Behavioral Finance, 21(1), 57-65.Busse, J. A. (1999). Volatility timing in mutual funds: Evidence from daily returns. The Review of Financial Studies, 12(5), 1009-1041.Cai, Z., Mitra, G., & Erlwein-Sayer, C. (2017). Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment. SSRN Electronic Journal. Retrieved from https://ssrn.com/abstract=3405977Cao, C., Chen, Y., Liang, B., & Lo, A. W. (2013). Can hedge funds time market liquidity? Journal of Financial Economics, 109(2), 493-516.Cao, C., Simin, T. T., & Wang, Y. (2013). Do mutual fund managers time market liquidity? Journal of Financial Markets, 16(2), 279-307.Chang, E. C., & Lewellen, W. G. (1984). Market timing and mutual fund investment performance. Journal of business, 57-72.Chen, Y., Ferson, W., & Peters, H. (2010). Measuring the timing ability and performance of bond mutual funds. Journal of Financial Economics, 98(1), 72-89.Chen, Y., Han, B., & Pan, J. (2021). Sentiment trading and hedge fund returns. The Journal of finance, 76(4), 2001-2033.Chen, Y., & Liang, B. (2007). Do market timing hedge funds time the market? Journal of Financial and Quantitative Analysis, 42(4), 827-856.Cici, G., & Gibson, S. (2012). The performance of corporate bond mutual funds: Evidence based on security-level holdings. Journal of Financial and Quantitative Analysis, 47(1), 159-178.Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of finance, 52(3), 1035-1058.Eforn, B. (1979). Bootstrap methods: another look at the jackknife. The Annals of Statistics, 7, 1-26.Elton, E. J., Gruber, M. J., & Blake, C. R. (1995). Fundamental economic variables, expected returns, and bond fund performance. The Journal of finance, 50(4), 1229-1256.Elton, E. J., Gruber, M. J., & Blake, C. R. (2012). An examination of mutual fund timing ability using monthly holdings data. Review of Finance, 16(3), 619-645.Erlwein-Sayer, C. (2018). Macroeconomic news sentiment: Enhanced risk assessment for sovereign bonds. Risks, 6(4), 141.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.Ferson, W., Henry, T. R., & Kisgen, D. J. (2006). Evaluating government bond fund performance with stochastic discount factors. The Review of Financial Studies, 19(2), 423-455.Ferson, W., & Khang, K. (2002). Conditional performance measurement using portfolio weights: Evidence for pension funds. Journal of Financial Economics, 65(2), 249-282.Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. The Journal of finance, 51(2), 425-461.Gotthelf, N., & Uhl, M. W. (2018). Investing in US 10-Year Yields with News Sentiment. The Journal of Investing, 27(4), 43-46.Gotthelf, N., & Uhl, M. W. (2019). News sentiment: A new yield curve factor. Journal of Behavioral Finance, 20(1), 31-41.Graham, J. R., & Harvey, C. R. (1996). Market timing ability and volatility implied in investment newsletters` asset allocation recommendations. Journal of Financial Economics, 42(3), 397-421.Griffin, J. M., Harris, J. H., Shu, T., & Topaloglu, S. (2011). Who drove and burst the tech bubble? The Journal of finance, 66(4), 1251-1290.Guo, X., Lin, H., Wu, C., & Zhou, G. (2018). Investor sentiment and the cross-section of corporate bond returns. SSRN Electronic Journal. Retrieved from https://doi.org/10.2139/ssrn.3223846Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of business, 513-533.Houweling, P., & Van Zundert, J. (2017). Factor investing in the corporate bond market. Financial Analysts Journal, 73(2), 100-115.Huang, J.-Z., Rossi, M., & Wang, Y. (2015). Sentiment and corporate bond valuations before and after the onset of the credit crisis. The Journal of Fixed Income, 25(1), 34-57.Huang, J.-Z., & Wang, Y. (2014). Timing ability of government bond fund managers: Evidence from portfolio holdings. Management Science, 60(8), 2091-2109.Islam, M. A. (2021). Investor sentiment in the equity market and investments in corporate-bond funds. International Review of Financial Analysis, 78, 101898.Jiang, G. J., Yao, T., & Yu, T. (2007). Do mutual funds time the market? Evidence from portfolio holdings. Journal of Financial Economics, 86(3), 724-758.Jiang, W. (2003). A nonparametric test of market timing. Journal of Empirical Finance, 10(4), 399-425.Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of finance, 61(6), 2551-2595.López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics, 132(3), 1373-1426.Laborda, R., & Olmo, J. (2014). Investor sentiment and bond risk premia. Journal of Financial Markets, 18, 206-233.Li, J.-H., You, C.-F., & Huang, C.-S. (2020). Do Mutual Fund Managers Time Market Sentiment? International Journal of Financial Research, 11(5), 527-537.Massa, M., & Yadav, V. (2015). Investor sentiment and mutual fund strategies. Journal of Financial and Quantitative Analysis, 50(4), 699-727.Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of finance, 29(2), 449-470.Moneta, F. (2015). Measuring bond mutual fund performance with portfolio characteristics. Journal of Empirical Finance, 33, 223-242.Nayak, S. (2010). Investor sentiment and corporate bond yield spreads. Review of Behavioural Finance, 2(2), 59-80.Shanken, J. (1990). Intertemporal asset pricing: An empirical investigation. Journal of Econometrics, 45(1-2), 99-120.Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard business review, 44(4), 131-136.Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of finance, 55(4), 1655-1695.Zheng, Y., Osmer, E., & Zhang, R. (2018). Sentiment hedging: How hedge funds adjust their exposure to market sentiment. Journal of Banking & Finance, 88, 147-160.Zheng, Y., Osmer, E., & Zheng, L. (2020). Can mutual funds time investor sentiment? Review of Quantitative Finance and Accounting, 54, 1449-1486. 描述 碩士
國立政治大學
金融學系
109352004資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352004 資料類型 thesis dc.contributor.advisor 林建秀<br>岳夢蘭 zh_TW dc.contributor.advisor Ling, Chien-Hsiu<br>Yueh, Meng-Lan en_US dc.contributor.author (Authors) 呂學靖 zh_TW dc.contributor.author (Authors) Lu, Hsueh-Ching en_US dc.creator (作者) 呂學靖 zh_TW dc.creator (作者) Lu, Hsueh-Ching en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:44:26 (UTC+8) - dc.date.available 6-Jul-2023 16:44:26 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:44:26 (UTC+8) - dc.identifier (Other Identifiers) G0109352004 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145849 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 109352004 zh_TW dc.description.abstract (摘要) 本研究探討公司債共同基金對市場情緒的擇時能力，以Fama and French (1993) 五因子模型推導公司債共同基金的情緒擇時模型，實證結果顯示個別基金會根據市場情緒的高低調整系統性風險。若依基金類別單獨檢視，對市場情緒避險的投資級公司債共同基金展現較佳的績效，而高情緒曝險的高收益債券共同基金賺取較高的風險調整報酬。此外，公司債共同基金對市場情緒的曝險程度，隨基金年限與基金費用率而增加，而高情緒曝險的基金吸引較少的基金流量。為更進一步分析基金的擇時策略與相應的投資績效，本研究亦根據 (1)2008年金融海嘯事件與 (2)市場情緒高低進行子樣本分析。在金融海嘯發生前，投資級公司債共同基金面對上升的市場情緒時，傾向於提高基金的系統性風險，但金融海嘯過後多數的基金選擇對市場情緒進行避險，並且低情緒曝險的基金始能賺取較高的風險調整報酬。分市場情緒高低的子樣本分析則顯示，當市場處於高情緒狀態時，高收益債券共同基金容易受到投資情緒的影響而加入追逐市場情緒的行列，不過相較於低市場情緒狀態，高低情緒曝險基金投組縮小的績效差異，說明此時利用價格泡沫 (ridding the bubble) 的交易策略未能帶來較佳的績效。 zh_TW dc.description.abstract (摘要) This paper examines the ability of corporate bond mutual funds to time aggregate investor sentiment. We develop a sentiment exposure model for corporate bond funds based on the five-factor model proposed by Fama and French (1993). The evidence at individual fund level suggests fund managers adjust their portfolios’ exposure to changes in market sentiment. By funds’ investment objective, we find that investment-grade bond funds with low sentiment exposure demonstrate superior performance, and that high-yield bond funds with high sentiment exposure earn higher risk-adjusted return. Moreover, our result shows the tendency of a corporate bond fund to chase sentiment increases with fund age and fund fees and decrease with fund flows.To further investigate the sentiment timing strategies and the corresponding fund performance, we split the full sample into two subsamples according to (1) the 2008 Financial Crisis and (2) the sentiment level. In the first setting, we find that investment-grade bond funds tend to chase sentiment before the Financial Crisis but opt to hedge against it thereafter. Moreover, low-sentiment-exposure funds significantly outperform high-sentiment-exposure funds after the Financial Crisis. The analysis in the second setting indicates more high-yield bond funds join the side of sentiment chasers during high sentiment periods. In contrast to the return spread between high- and low-sentiment-exposure funds in low sentiment periods, the narrowing return spread implies this bubble-riding type of sentiment trading doesn’t pay off for them. en_US dc.description.tableofcontents 摘要 iABSTRACT ii目次 iii表次 iv圖次 v第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究流程 4第二章 文獻回顧 5第一節 股票市場基金擇時文獻 5第二節 債券共同基金績效文獻 7第三章 研究方法 9第一節 樣本來源與變數定義 9第二節 情緒擇時模型推導 11第三節 Bootstrap分析 13第四章 實證結果 15第一節 敘述統計分析 15第二節 公司債共同基金情緒擇時能力 18第三節 情緒擇時能力之bootstrap分析 21第四節 情緒擇時能力之經濟效益分析 21第五節 情緒擇時能力與經濟效益分析: 分金融海嘯前後 25第六節 情緒擇時能力與經濟效益分析: 分市場情緒高低 26第七節 情緒擇時係數與基金特徵回歸分析 29第八節 情緒擇時能力之穩健性測試 31第五章 結論與建議 33參考文獻 34 zh_TW dc.format.extent 1118967 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352004 en_US dc.subject (關鍵詞) 公司債共同基金 zh_TW dc.subject (關鍵詞) 投資者情緒 zh_TW dc.subject (關鍵詞) 情緒擇時 zh_TW dc.subject (關鍵詞) 基金特徵 zh_TW dc.subject (關鍵詞) Corporate bond mutual funds en_US dc.subject (關鍵詞) Investor sentiment en_US dc.subject (關鍵詞) Sentiment timing en_US dc.subject (關鍵詞) Fund characteristics en_US dc.title (題名) 公司債共同基金是否具有市場情緒擇時能力？ zh_TW dc.title (題名) Can Corporate Bond Mutual Funds Time Market Sentiment? en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Admati, A. R., Bhattacharya, S., Pfleiderer, P., & Ross, S. A. (1986). On timing and selectivity. The Journal of finance, 41(3), 715-730.Audrino, F., & Offner, E. (2022). The impact of macroeconomic news sentiment on interest rates. SSRN Electronic Journal. Retrieved from https://ssrn.com/abstract=4170954Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of finance, 61(4), 1645-1680.Becker, C., Ferson, W., Myers, D. H., & Schill, M. J. (1999). Conditional market timing with benchmark investors. Journal of Financial Economics, 52(1), 119-148.Blake, C. R., Elton, E. J., & Gruber, M. J. (1993). The performance of bond mutual funds. Journal of business, 371-403.Bollen, N. P., & Busse, J. A. (2001). On the timing ability of mutual fund managers. The Journal of finance, 56(3), 1075-1094.Boney, V., Comer, G., & Kelly, L. (2009). Timing the investment grade securities market: Evidence from high quality bond funds. Journal of Empirical Finance, 16(1), 55-69.Brunnermeier, M. K., & Nagel, S. (2004). Hedge funds and the technology bubble. The Journal of finance, 59(5), 2013-2040.Bu, Q. (2020). Investor sentiment and mutual fund alpha. Journal of Behavioral Finance, 21(1), 57-65.Busse, J. A. (1999). Volatility timing in mutual funds: Evidence from daily returns. The Review of Financial Studies, 12(5), 1009-1041.Cai, Z., Mitra, G., & Erlwein-Sayer, C. (2017). Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment. SSRN Electronic Journal. Retrieved from https://ssrn.com/abstract=3405977Cao, C., Chen, Y., Liang, B., & Lo, A. W. (2013). Can hedge funds time market liquidity? Journal of Financial Economics, 109(2), 493-516.Cao, C., Simin, T. T., & Wang, Y. (2013). Do mutual fund managers time market liquidity? Journal of Financial Markets, 16(2), 279-307.Chang, E. C., & Lewellen, W. G. (1984). Market timing and mutual fund investment performance. Journal of business, 57-72.Chen, Y., Ferson, W., & Peters, H. (2010). Measuring the timing ability and performance of bond mutual funds. Journal of Financial Economics, 98(1), 72-89.Chen, Y., Han, B., & Pan, J. (2021). Sentiment trading and hedge fund returns. The Journal of finance, 76(4), 2001-2033.Chen, Y., & Liang, B. (2007). Do market timing hedge funds time the market? Journal of Financial and Quantitative Analysis, 42(4), 827-856.Cici, G., & Gibson, S. (2012). The performance of corporate bond mutual funds: Evidence based on security-level holdings. Journal of Financial and Quantitative Analysis, 47(1), 159-178.Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of finance, 52(3), 1035-1058.Eforn, B. (1979). Bootstrap methods: another look at the jackknife. The Annals of Statistics, 7, 1-26.Elton, E. J., Gruber, M. J., & Blake, C. R. (1995). Fundamental economic variables, expected returns, and bond fund performance. The Journal of finance, 50(4), 1229-1256.Elton, E. J., Gruber, M. J., & Blake, C. R. (2012). An examination of mutual fund timing ability using monthly holdings data. Review of Finance, 16(3), 619-645.Erlwein-Sayer, C. (2018). Macroeconomic news sentiment: Enhanced risk assessment for sovereign bonds. Risks, 6(4), 141.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.Ferson, W., Henry, T. R., & Kisgen, D. J. (2006). Evaluating government bond fund performance with stochastic discount factors. The Review of Financial Studies, 19(2), 423-455.Ferson, W., & Khang, K. (2002). Conditional performance measurement using portfolio weights: Evidence for pension funds. Journal of Financial Economics, 65(2), 249-282.Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. The Journal of finance, 51(2), 425-461.Gotthelf, N., & Uhl, M. W. (2018). Investing in US 10-Year Yields with News Sentiment. The Journal of Investing, 27(4), 43-46.Gotthelf, N., & Uhl, M. W. (2019). News sentiment: A new yield curve factor. Journal of Behavioral Finance, 20(1), 31-41.Graham, J. R., & Harvey, C. R. (1996). Market timing ability and volatility implied in investment newsletters` asset allocation recommendations. Journal of Financial Economics, 42(3), 397-421.Griffin, J. M., Harris, J. H., Shu, T., & Topaloglu, S. (2011). Who drove and burst the tech bubble? The Journal of finance, 66(4), 1251-1290.Guo, X., Lin, H., Wu, C., & Zhou, G. (2018). Investor sentiment and the cross-section of corporate bond returns. SSRN Electronic Journal. Retrieved from https://doi.org/10.2139/ssrn.3223846Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of business, 513-533.Houweling, P., & Van Zundert, J. (2017). Factor investing in the corporate bond market. Financial Analysts Journal, 73(2), 100-115.Huang, J.-Z., Rossi, M., & Wang, Y. (2015). Sentiment and corporate bond valuations before and after the onset of the credit crisis. The Journal of Fixed Income, 25(1), 34-57.Huang, J.-Z., & Wang, Y. (2014). Timing ability of government bond fund managers: Evidence from portfolio holdings. Management Science, 60(8), 2091-2109.Islam, M. A. (2021). Investor sentiment in the equity market and investments in corporate-bond funds. International Review of Financial Analysis, 78, 101898.Jiang, G. J., Yao, T., & Yu, T. (2007). Do mutual funds time the market? Evidence from portfolio holdings. Journal of Financial Economics, 86(3), 724-758.Jiang, W. (2003). A nonparametric test of market timing. Journal of Empirical Finance, 10(4), 399-425.Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of finance, 61(6), 2551-2595.López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics, 132(3), 1373-1426.Laborda, R., & Olmo, J. (2014). Investor sentiment and bond risk premia. Journal of Financial Markets, 18, 206-233.Li, J.-H., You, C.-F., & Huang, C.-S. (2020). Do Mutual Fund Managers Time Market Sentiment? International Journal of Financial Research, 11(5), 527-537.Massa, M., & Yadav, V. (2015). Investor sentiment and mutual fund strategies. Journal of Financial and Quantitative Analysis, 50(4), 699-727.Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of finance, 29(2), 449-470.Moneta, F. (2015). Measuring bond mutual fund performance with portfolio characteristics. Journal of Empirical Finance, 33, 223-242.Nayak, S. (2010). Investor sentiment and corporate bond yield spreads. Review of Behavioural Finance, 2(2), 59-80.Shanken, J. (1990). Intertemporal asset pricing: An empirical investigation. Journal of Econometrics, 45(1-2), 99-120.Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard business review, 44(4), 131-136.Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of finance, 55(4), 1655-1695.Zheng, Y., Osmer, E., & Zhang, R. (2018). Sentiment hedging: How hedge funds adjust their exposure to market sentiment. Journal of Banking & Finance, 88, 147-160.Zheng, Y., Osmer, E., & Zheng, L. (2020). Can mutual funds time investor sentiment? Review of Quantitative Finance and Accounting, 54, 1449-1486. zh_TW
