Can fund sentiment beta predict future performance?

Research output: Contribution to journalArticlepeer-review

Abstract

Using both actual and bootstrapped fund samples, this paper examines whether fund sentiment beta (FSB) can be used to predict future fund performance, whether FSB exhibits persistence across time periods, and whether FSB affects fund selectivity. We find that FSB has no significant effect on either current or subsequent fund performance and that it does not exhibit any persistence across time. Also, we find no evidence of a relationship between FSB and fund selectivity. Contrary to prior research, these findings suggest that an FSB-based strategy is unlikely to be a profitable strategy for fund managers.

Original languageEnglish (US)
Pages (from-to)524-534
Number of pages11
JournalJournal of Asset Management
Volume21
Issue number6
DOIs
StatePublished - Oct 1 2020

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Strategy and Management
  • Information Systems and Management

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