Outperforming probabilities on sentiment-adjusted models for the US
| CAPM + BW (%) | FF – 3 factor model + BW (%) | FFC – 4 factor model + BW (%) | |
|---|---|---|---|
| Whole period | 1.828 | 1.044 | 1.044 |
| 2010–2012 | 0.261 | 0.522 | 0.783 |
| 2013–2015 | 1.567 | 0.783 | 0.261 |
| 2016–2019 | 0.000 | 1.044 | 1.567 |
| CAPM + BW (%) | FF – 3 factor model + BW (%) | FFC – 4 factor model + BW (%) | |
|---|---|---|---|
| Whole period | 1.828 | 1.044 | 1.044 |
| 2010–2012 | 0.261 | 0.522 | 0.783 |
| 2013–2015 | 1.567 | 0.783 | 0.261 |
| 2016–2019 | 0.000 | 1.044 | 1.567 |
Note(s): Table 10 presents the outperforming probability of the sample funds based on the CAPM, Fama and French (1993), and Carhart (1997) models adjusted by investor sentiment. The fund sample includes 385 US mutual funds. The sample period ranges from January 2010 through December 2019 (monthly return data)
Source(s): Authors’ own work