论文名称：Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

作者：Chen, Z ; Lu, A  ;祝小全

刊名：MANAGEMENT SCIENCE

发表时间：2025.02

Hedgefunds with larger macroeconomic-risk betas do not earn higher returns, in contrast to the theoretically predicted risk-return trade-off. Meanwhile, high macrobeta funds deliver higher returns than low macro-beta funds following a low-sentiment period, whereas the risk-return relation is flat following a high-sentiment period. We show that the sophisticated management ofhedgefunds explains this pattern. The relation between funds' macro-risk betas and the timing abilities/investor flows is sentiment dependent, and such variation likely drives the contrasting beta-return trade-offs after high- and low-sentiment periods. A similar pattern is also observed in mutual funds.