How does the smart money feel? Hedge fund sentiment, returns, and the business cycle

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-07-21 DOI:10.1016/j.jbef.2025.101082

Hamid Yahyaei , Abhay Singh, Tom Smith

引用次数: 0

Abstract

We examine the relationship between the business cycle, sentiment, and the returns of listed U.S. hedge funds. Using Natural Language Processing (NLP) techniques, we construct a novel measure of hedge fund sentiment by mapping fund-level sentiment scores to hand-collected portfolio manager commentaries. Our empirical analysis shows that business cycle fluctuations exert the strongest influence on hedge fund sentiment, outweighing the effects of geopolitical, trade, and climate policy risks. Moreover, hedge fund sentiment exhibits explanatory power for the cross-section of returns, where a one-unit improvement in sentiment (from neutral to positive) is associated with an average annual return increase of approximately 0.74 percentage points.

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聪明的钱是什么感觉？对冲基金的情绪、回报和商业周期

我们考察了商业周期、市场情绪和美国上市对冲基金收益之间的关系。利用自然语言处理（NLP）技术，我们通过将基金层面的情绪得分映射到手工收集的投资组合经理评论，构建了一种新的对冲基金情绪测量方法。我们的实证分析表明，商业周期波动对对冲基金情绪的影响最大，超过了地缘政治、贸易和气候政策风险的影响。此外，对冲基金的情绪表现出对收益横截面的解释力，其中情绪的一个单位改善（从中性到正）与平均年收益增长约0.74个百分点相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.