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Comparing sentiment measures in mutual fund performance

Comparing sentiment measures in mutual fund performance The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.Design/methodology/approachThe authors examine the role of direct and indirect sentiment measures on fund performance in two scenarios. One is when a sentiment measure is added to market models, and the other is when it used independently. Also, the authors propose a system science theory to explain the findings.FindingsThe authors find that both direct and indirect sentiment measures are integral to the benchmark models to explain fund performance. However, while the explanatory power of the direct sentiment index is robust when used independently or collectively, the indirect sentiment measures can explain fund performance only when used along with other market factors.Originality/valueGiven the number of sentiment measures, it is critical to determine whether these measures contain the same information of sentiment. This paper represents the first study on this topic. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Managerial Finance Emerald Publishing

Comparing sentiment measures in mutual fund performance

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Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1743-9132
DOI
10.1108/ijmf-02-2020-0092
Publisher site
See Article on Publisher Site

Abstract

The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.Design/methodology/approachThe authors examine the role of direct and indirect sentiment measures on fund performance in two scenarios. One is when a sentiment measure is added to market models, and the other is when it used independently. Also, the authors propose a system science theory to explain the findings.FindingsThe authors find that both direct and indirect sentiment measures are integral to the benchmark models to explain fund performance. However, while the explanatory power of the direct sentiment index is robust when used independently or collectively, the indirect sentiment measures can explain fund performance only when used along with other market factors.Originality/valueGiven the number of sentiment measures, it is critical to determine whether these measures contain the same information of sentiment. This paper represents the first study on this topic.

Journal

International Journal of Managerial FinanceEmerald Publishing

Published: Apr 29, 2021

Keywords: Fund performance; Sentiment measures; BW index; AAII indexes; Explanatory power

References