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Comparing sentiment measures in mutual fund performance

Qiang Bu (Pennsylvania State University-Harrisburg, Middletown, Pennsylvania, USA)
Jeffrey Forrest (Slippery Rock University of Pennsylvania, Slippery Rock, Pennsylvania, USA)

International Journal of Managerial Finance

ISSN: 1743-9132

Article publication date: 14 September 2020

Issue publication date: 29 April 2021




The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.


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.


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.


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.



Bu, Q. and Forrest, J. (2021), "Comparing sentiment measures in mutual fund performance", International Journal of Managerial Finance, Vol. 17 No. 3, pp. 478-493.



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