| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 107 === Mutual fund performance is an important investment instrument for investors. In recent years, behavioral finance has received more and more attention by academics and practitioners. For example, Brown and Cliff (2004) and Baker and Wurgler (2006) found that investor sentiment can explain the asset pricing anomalies. That is, the irrational investor sentiment can cause stock misvaluation. This study explores the issue that whether rational fund managers can identify overvalued or undervalued stocks caused by irrational investor sentiment and then trade accordingly to enhance their investment performance. The empirical results show that there exists a significant negative relation between investor sentiment and fund performance. Further analysis reveals that fund managers should have the market-timing ability, given that they can take advantage of the extremely high investor sentiment in their trading. And can achieve higher fund performance. However, Our empirical findings support that fund managers can use the irrational investor sentiment to achieve higher fund performance, shed some light on the relevant work for future studies.
|
|---|
