Winner fund controlling for sentiment factor, Brazil
| Intercept | RMRF | SMB | HML | MOM | SENT | R2-adj |
|---|---|---|---|---|---|---|
| 0.003 | 0.659 | 0.002 | 0.886 | |||
| (0.004) | (0.029)*** | (0.003) | ||||
| 0.003 | 0.710 | 0.233 | −0.132 | 0.000 | 0.936 | |
| (0.003) | (0.028)*** | (0.028)*** | (0.027)*** | (0.002) | ||
| 0.004 | 0.728 | 0.240 | −0.098 | 0.082 | −0.001 | 0.942 |
| (0.003) | (0.025)*** | (0.026)*** | (0.031)*** | (0.024)*** | (0.002) |
| Intercept | RMRF | SMB | HML | MOM | SENT | |
|---|---|---|---|---|---|---|
| 0.003 | 0.659 | 0.002 | 0.886 | |||
| (0.004) | (0.029)*** | (0.003) | ||||
| 0.003 | 0.710 | 0.233 | −0.132 | 0.000 | 0.936 | |
| (0.003) | (0.028)*** | (0.028)*** | (0.027)*** | (0.002) | ||
| 0.004 | 0.728 | 0.240 | −0.098 | 0.082 | −0.001 | 0.942 |
| (0.003) | (0.025)*** | (0.026)*** | (0.031)*** | (0.024)*** | (0.002) |
Note(s): Table 6 presents the results of the winner fund portfolio based on the CAPM, Fama and French (1993), and Carhart (1997) models adjusted by sentiment level. In this case, SENT represents a dummy variable which receives 1 for low sentiment values and 2 for high sentiment values. 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