Stock Market Anomalies,Investor Sentiment And Fund Performance

In recent years,funds have become an important investment product for residents’ personal wealth management,and the performance of funds determines the return income of investors.As an important underlying investment for funds,their return exposure has been proven to be driven by market anomalies influenced by investor sentiment.The current significant emotional investment behavior in China’s investment market has exacerbated the market performance of anomalies and further expanded the risk of equity valuation bias and investment premium;at the same time,the domestic fund market has underutilized quantitative factors and anomalous strategies,and there is still extensive room to improve the excess returns of fund performance.Facing the coexistence of investment risks and opportunities,analyzing the relationship between market aberrant performance and fund performance in today’s emotional market environment can help identify fund investment strategies and improve fund performance evaluation system.Based on behavioral finance theory,multi-factor model theory,principal-agent theory,and tournament theory,this article investigates the impact of stock anomalies on fund performance under the sentiment environment from the perspective of factor investment in asset pricing.The article constructs a factor investment indicator-fund holding anomaly index SOP based on 11 market anomalies to measure the anomalous performance of the fund’s stock holdings.The empirical results of multiple performance proxies with SOP indicators are studied through portfolio ranking method with fixed effects regression analysis to analyze the impact of market variances on fund performance,and the changes in the relationship between variances and fund performance under different sentiment situations are analyzed using the sentiment indicator CSCSI.In addition,this paper uses the Stambaugh-Yuan mispricing four-factor model to examine fund performance exposure due to stock disparity and a fixed-effects regression analysis of performance fund flows to explore investors’ ability to identify the disparity-fund performance relationship in a sentiment market.This paper yields the following empirical results: equity market outlier performance has a significant negative impact on fund performance,with funds holding high outlier performance stocks performing lower;fund performance is more significantly affected by negative market performance when investor sentiment is high;and performance between high and low SOP fund portfolios is no longer significantly different using the mispricing factor.When investor sentiment is high,high outlier index funds capture higher performance flows and the market is unable to effectively identify the outlier-performance relationship.The research in this paper provides assistance in analyzing fund holding strategies and investors’ fund performance judgments.