Table 12 US winner funds and... | Emerald Publishing

Table 12

US winner funds and sentiment-adjusted models

Intercept	RMRF	SMB	HML	MOM	SENT	R²-adj
0.177	0.965				0.255	0.964
(0.053)***	(0.016)***				(0.109)*
0.169	0.951	0.065	−0.014		0.259	0.966
(0.051)***	(0.016)***	(0.039)	(0.030)		(0.116)*
0.169	0.952	0.064	−0.013	0.002	0.257	0.966
(0.052)***	(0.019)***	(0.038)	(0.030)	(0.019)	(0.118)*

Intercept	RMRF	SMB	HML	MOM	SENT	R²-adj
0.177	0.965				0.255	0.964
(0.053)***	(0.016)***				(0.109)*
0.169	0.951	0.065	−0.014		0.259	0.966
(0.051)***	(0.016)***	(0.039)	(0.030)		(0.116)*
0.169	0.952	0.064	−0.013	0.002	0.257	0.966
(0.052)***	(0.019)***	(0.038)	(0.030)	(0.019)	(0.118)*

Note(s): Table 12 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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