Timing sentiment with style: Evidence from mutual funds

Yao Zheng, Eric Osmer and Dingding Zu

Journal of Banking & Finance, 2024, vol. 164, issue C

Abstract: This study analyzes four distinct types of mutual fund sentiment timing skills using a multifactor framework. Our results indicate a diminished significance of market sentiment timing, in contrast to the results of prior studies. Additionally, we reveal that size and value sentiment timing can substantially enhance fund performance. Managers strategically reduce their exposure to small stocks using size sentiment timing and increase exposure to value stocks through value sentiment timing during high sentiment periods. We find no evidence that mutual fund managers engage in momentum sentiment timing.

Keywords: Timing; Sentiment; Style factors; Mutual funds (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426624001146
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001146

DOI: 10.1016/j.jbankfin.2024.107197

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().