INVESTOR SENTIMENT ON THE U.S DOMESTIC EQUITY-BASED MUTUAL FUND
Wirawan Sasongko, Prof. Dr. Basu Swastha Dharmmesta, MBA.
2013 | Tesis | S2 Magister Manajemen-
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.!
Kata Kunci : investor, sentiment; mutual, fund; open Mend, fund; closed Mend, fund; University of Michigan sentiment index; Baker and Wurgler Sentiment Index; Fama and French factors; NBER business cycle
