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Can fund sentiment beta predict future performance?

Author

Listed:
  • Qiang Bu

    (Pennsylvania State University-Harrisburg)

  • Odd J. Stalebrink

    (Pennsylvania State University-Harrisburg)

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.

Suggested Citation

  • Qiang Bu & Odd J. Stalebrink, 2020. "Can fund sentiment beta predict future performance?," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 524-534, October.
    • Handle: RePEc:pal:assmgt:v:21:y:2020:i:6:d:10.1057_s41260-020-00182-1
    DOI: 10.1057/s41260-020-00182-1
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    References listed on IDEAS

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    More about this item

    Keywords

    Fund sentiment beta; BW index; Persistence; Selectivity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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