Portfolio's weighted political risk and mutual fund performance: A text-based approach
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Date
2024-08
Open Access Location
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Inc
Rights
(c) 2024 The Author/s
CC BY 4.0
CC BY 4.0
Abstract
Using text-based measures of firm-level political risk, we find a negative impact of the portfolio's weighted political risk on U.S. mutual fund performance. This relationship is robust to a wide range of topic-specific political risks at the firm level. We, however, find that national geopolitical risk, the U.S. state-level economic policy uncertainty, and Brexit-induced risk do not affect mutual fund performance. Our results suggest that even though mutual funds are immune from political risk at the macro level, they are significantly exposed to idiosyncratic political risk. We also demonstrate that partisanship matters to mutual fund performance.
Description
Keywords
Brexit risk, Geopolitical risk, Mutual fund, Performance, Policy uncertainty, Political risk
Citation
Nguyen HG, Hoang K, Nguyen QMP, Do HX, Nguyen DK. (2024). Portfolio's weighted political risk and mutual fund performance: A text-based approach. Finance Research Letters. 66.