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Timing sentiment with style: Evidence from mutual funds

Author

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  • Zheng, Yao
  • Osmer, Eric
  • Zu, Dingding

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.

Suggested Citation

  • Zheng, Yao & Osmer, Eric & Zu, Dingding, 2024. "Timing sentiment with style: Evidence from mutual funds," Journal of Banking & Finance, Elsevier, vol. 164(C).
    • Handle: RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001146
    DOI: 10.1016/j.jbankfin.2024.107197
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    References listed on IDEAS

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    More about this item

    Keywords

    Timing; Sentiment; Style factors; Mutual funds;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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