This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...