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Norwegian mutual fund newsletters : newsletter information and its relation to performance, fund manager efforts, and investor flows

Baade, Charlotte Leikanger; Øvrelid, Amalie Dimmen
Master thesis
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URI
https://hdl.handle.net/11250/2678791
Date
2020
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  • Master Thesis [3749]
Abstract
By analysing the sentiment and similarity of monthly Norwegian mutual fund newsletters,

we find that more positive sentiment and higher similarity is associated with higher

performance in the relevant month. We find no proof of an overall connection between

newsletter characteristics and fund manager efforts, measured by active share. Further,

by constructing portfolios based on the most recent newsletters available to investors,

we find that a high-sentiment portfolio does not outperform a low-sentiment portfolio.

This suggests that the rationale behind distributing newsletters is in part marketing.

Investors do however not respond to sentiment-related information, indicating a lack

of successfulness for newsletters as a marketing tool. Lastly, a “non-changer” portfolio

outperforms a “changer” portfolio for two out of three similarity measures, and cannot

solely be explained by common risk factors. As investors do not respond to newsletter

changes, this signals the existence of a potential market inefficiency.

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