In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk-adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill that positively correlates with fund sentiment beta and contributes to fund performance. Our findings show that skilled hedge funds can earn high returns by predicting and exploiting sentiment changes rather than betting against mispricing.

中文翻译：

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情绪交易和对冲基金回报

在情绪波动的情况下，套利者可能会采用不同的策略，导致分散的情绪风险敞口。我们发现，在风险调整的基础上，情绪贝塔排名前十分之一的对冲基金的表现比底部十分之一的对冲基金高 0.59%，而熟练基金之间的利差更大。我们还发现，大约 10% 的对冲基金具有与基金情绪贝塔呈正相关并有助于基金业绩的情绪择时技巧。我们的研究结果表明，熟练的对冲基金可以通过预测和利用情绪变化而不是押注错误定价来获得高回报。