INVESTOR SENTIMENT ON THE U.S DOMESTIC EQUITY-BASED MUTUAL FUND
This! thesis! is! investigating! the! effect! of! investor! sentiment! on! the! U.S.! domestic! equity! fund! returns! during! economic! expansion! and! economic! recession.! Seven! fund! classifications! are! taken! as! samples,! and! the! investigation! period! starts! from! January! 2000! to! Dec...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/125681/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65854 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | This! thesis! is! investigating! the! effect! of! investor! sentiment! on! the! U.S.!
domestic! equity! fund! returns! during! economic! expansion! and! economic!
recession.! Seven! fund! classifications! are! taken! as! samples,! and! the!
investigation! period! starts! from! January! 2000! to! December! 2010.! The! U.S!
state!of! economy! is!based!on! the!period! set!by!NBER!business! cycle,!while!
investor! sentiment! is! proxy! by! the! changes! in! the! University! of! Michigan!
Consumer!sentiment!index!and!the!changes!in!Baker!and!Wurgler!sentiment!
index.!This!thesis!finds!that!investor!sentiments!are!affecting!the!time!series!
of!cross!section!returns!of!the!U.S.!domestic!equity!fund!during!the!economic!
expansion!and!recessions.!In!particular,!in!economic!expansion!and!recession!
both! sentiment! indexes!display! their! significant!on!two! fund!classifications:!
midScap!growth!funds! (MCGE)!and! smallScap! value! funds! (SCVE).!However,!
the! important! note! to! this! finding! is! that! both! sentiment! indexes! have! an!
opposite!relation!to!those!two!funds.! |
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