Table 5 Winner funds and... | Emerald Publishing

Table 5

Winner funds and sentiment-adjusted models, Brazil

Intercept	RMRF	SMB	HML	MOM	SENT	R²-adj
0.006	0.657				0.002	0.888
(0.002)***	(0.029)***				(0.001)
0.004	0.710	0.231	−0.133		0.000	0.936
(0.001)***	(0.028)***	(0.029)***	(0.027)***		(0.001)
0.002	0.728	0.239	−0.099	0.082	−0.000	0.942
(0.001)*	(0.025)***	(0.028)***	(0.032)***	(0.025)***	(0.000)

Intercept	RMRF	SMB	HML	MOM	SENT	R²-adj
0.006	0.657				0.002	0.888
(0.002)***	(0.029)***				(0.001)
0.004	0.710	0.231	−0.133		0.000	0.936
(0.001)***	(0.028)***	(0.029)***	(0.027)***		(0.001)
0.002	0.728	0.239	−0.099	0.082	−0.000	0.942
(0.001)*	(0.025)***	(0.028)***	(0.032)***	(0.025)***	(0.000)

Note(s): Table 5 presents the results of the winner fund portfolio based on the CAPM, Fama and French (1993), and Carhart (1997) models adjusted by investor sentiment. The winner fund portfolio includes all funds with positive alphas, which are statistically significant at a 5% level. ***, **, and * indicate statistical significance at a 0.1%, 1%, and 5% level, respectively. The sample period ranges from January 2010 through December 2019 (monthly data)

Source(s): Authors’ own work

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