Table 1 Definition of Main Variables.
From: The impact of social media on fund net capital flow and performance
Variable symbol | Variable name | Variable definition and description | Data source |
|---|---|---|---|
Explained variable | |||
return | Ordinary return rate of fund | The fund’s ordinary return rate | Wind |
flow | Fund net capital flow | \({{flow}}_{i,t}=\frac{{{TNA}}_{i,t}-{{TNA}}_{i,t-1}\left(1+{R}_{i,t}\right)}{{{TNA}}_{i,t-1}}\), where \({{TNA}}_{i,t}\) represents the net asset value of the fund i at the end of the quarter t and \({R}_{i,t}\) represents the growth rate of the adjusted net asset value per unit of the fund i at the end of the quarter t | Wind |
rally | The degree of fund rally | Based on the top ten stock holdings codes of each fund provided by Wind, the number of other funds that hold the same stocks as their top holdings in the same quarter is counted. The average value of the corresponding fund numbers for the ten major holdings is taken as the rally degree of the fund i | Wind |
Explanatory variables | |||
media | Media attention | \({{media}}_{i,t}=\mathrm{ln}\left(1+{{post}}_{i,t}\right),\,{{media}}_{i,t}=\mathrm{ln}\left(1+{{news}}_{i,t}\right),\,{{media}}_{i,t}=\mathrm{ln}\left(1+{{Baidu}}_{i,t}\right)\), where \({{post}}_{i,t}\) represents the total number of posts in the dedicated sub-forum for the fund i on the TianTian Fund Network Fund Bar forum in the quarter t. And \({{news}}_{i,t}\) represents the number of media articles related to the fund i in the Finance.JR.com website during quarter t. And \({{Baidu}}_{i,t}\) is the calculated Baidu search index value of the fund i in t quarter | |
\({media\_pos}/{media\_ntr}/{media\_neg}\) | Positive/neutral/negative sentiment media attention | \({{media\_pos}}_{i,t}=\mathrm{ln}\left(1+{{pos}}_{i,t}\right),\,{{media\_ntr}}_{i,t}=\mathrm{ln}\left(1+{{ntr}}_{i,t}\right)\), \({{media\_neg}}_{i,t}=\mathrm{ln}\left(1+{{neg}}_{i,t}\right),\,{{pos}}_{i,t},{{\rm{ntr}}}_{i,t},{{\rm{n}}{eg}}_{i,t}\) represent the total number of positive, neutral and negative messages of the fund i in quarter t in the Fund Bar, respectively | |
Control variables | |||
lnage | Fund age | The fund age is obtained by subtracting the fund establishment date from the last day of each quarter and taking the logarithmic value | Wind |
lntna | Fund size | The logarithmic value of the net asset value of the fund | Wind |
lnfamsize | Fund family size | The logarithmic value of the net asset value of non-cash funds managed by the fund company | Wind |
Stdret | Volatility of the fund’s ordinary return rate | The standard deviation of the weekly return rate of each quarter is used to measure the investment risk of the fund | Wind |
div | Total fund dividends | Fund’s total dividend for the quarter | Wind |
divnum | Number of fund dividends | The number of times a fund pays dividends in a quarter. | Wind |
Rm | CSI 300 index return rate | Market return measures market environment | Wind |
pick | Fund manager’s stock picking ability | A value greater than 0 indicates that the fund manager has the ability to select stocks and the larger the value, the stronger the ability to select stocks | Wind |
timing | Fund manager’s timing ability | A value greater than 0 indicates that the fund manager has timing ability and the larger the value, the stronger the timing ability | Wind |
gender | Fund manager’s gender | Male = 1, Female = 0 | CSMAR |
edu | Fund manager’s education level | PhD = 1, Bachelor/Master/MBA/EMBA = 0 | CSMAR |
exp | Average years of experience as a fund manager | The number of years a fund manager has been in the industry is calculated by subtracting the earliest appointment date of the fund manager from the last day of each quarter; when a fund is managed by multiple fund managers in the same quarter, it is the arithmetic average of the years of employment of each fund manager. | Wind, Tian Tian Fund |
expmax | Maximum years of experience as a fund manager | When the same fund is managed by multiple fund managers in the same quarter, it is the maximum value of the years of industry experience among the fund managers. | Wind, Tian Tian Fund |
team | Fund team’s management model | When the same fund is managed by multiple fund managers in the same quarter, \({{team}}_{i,t}=1\), otherwise the value is 0 | Wind, Tian Tian Fund |
GDP | GDP growth rate | Quarterly GDP Growth Rate | National Bureau of Statistics of China |
