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Full-Text Articles in Business
Stock Returns And Investor Sentiment: Textual Analysis And Social Media, Zachary Mcgurk, Adam Nowak, Joshua C. Hall
Stock Returns And Investor Sentiment: Textual Analysis And Social Media, Zachary Mcgurk, Adam Nowak, Joshua C. Hall
Economics Faculty Working Papers Series
The behavioral finance literature has found that investor sentiment has predictive ability for equity returns. This differs from standard finance theory, which provides no role for investor sentiment. We examine the relationship between investor sentiment and stock returns by employing textual analysis on social media posts. We find that our investor sentiment measure has a positive and significant effect on abnormal stock returns. These findings are consistent across a number of different models and specifications, providing further evidence against non-behavioral theories.
When Fund Management Skill Is More Valuable?, Feng Dong, John A. Doukas
When Fund Management Skill Is More Valuable?, Feng Dong, John A. Doukas
Finance Faculty Publications
Does fund management skill allow managers to identify mispriced securities more accurately and thereby make better portfolio choices resulting in superior fund performance when noise trading- a natural setting to detect skill - is more prevalent? We find skilled-fund managers with superior past performance to generate persistent excess risk-adjusted returns and experience significant capital inflows, especially in high sentiment times, high stock dispersion and economic expansion states when price signals are noisier. This pattern persists after we control for lucky bias, using the "false discovery rate" approach, which permits to disentangle manager "skill" from "luck".