Title: The impact of fund characteristics and news sentiments on attention-flow relation
Authors: Li-Jiun Chen - Feng Chia University (Taiwan) [presenting]
Tsung-Ju Lee - National Penghu University of Science and Technology (Taiwan)
Abstract: The impact of investor attention on financial market has attracted many researchers attention. A general finding shows that mutual funds with high attention are rewarded with positive flow of capital into the fund in subsequent periods. However, the issue of whether the sensitivity of this flow differs across fund characteristics and news sentiments remains open questions. We seek to address this issue by investigating and modeling fund characteristics and news sentiments affecting the relation between investor attention and capital flow. Furthermore, we explore whether this attention-flow relation is value-creating for investors. We empirically test the impact of fund characteristics and news sentiments on attention-flow relation and the impact of attention-flow relation behavior on investors wealth with a survivor-bias-free dataset that is available at the monthly horizon.