TY - JOUR
T1 - Comparing sentiment measures in mutual fund performance
AU - Bu, Qiang
AU - Forrest, Jeffrey
PY - 2020
Y1 - 2020
N2 - Purpose: The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance. Design/methodology/approach: The 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. Findings: The 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/value: Given 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.
AB - Purpose: The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance. Design/methodology/approach: The 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. Findings: The 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/value: Given 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.
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U2 - 10.1108/IJMF-02-2020-0092
DO - 10.1108/IJMF-02-2020-0092
M3 - Article
AN - SCOPUS:85090973197
JO - International Journal of Managerial Finance
JF - International Journal of Managerial Finance
SN - 1743-9132
ER -