Manager sentiment and stock returns

被引：409

作者：

Jiang, Fuwei ^{[1
]}

Lee, Joshua ^{[2
]}

Martin, Xiumin ^{[3
]}

Zhou, Guofu ^{[3
]}

机构：

[1] Cent Univ Finance & Econ, Sch Finance, Xueyuan South Rd 39, Beijing 100081, Peoples R China

[2] Univ Georgia, Terry Coll Business, 600 South Lumpkin St, Athens, GA 30602 USA

[3] Washington Univ St Louis, Olin Business Sch, 1 Brookings Dr, St Louis, MO 63130 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2019年 / 132卷 / 01期

基金：

中国国家自然科学基金; 北京市自然科学基金;

关键词：

Manager sentiment; Textual tone; Investor sentiment; Asset pricing; Return predictability; BOOK-TO-MARKET; INVESTOR SENTIMENT; INFORMATION-CONTENT; EARNINGS GUIDANCE; TEXTUAL ANALYSIS; DIVIDEND YIELDS; SAMPLE; TESTS; REGRESSIONS; TIME;

D O I：

10.1016/j.jfineco.2018.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample Res of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existing measures of investor sentiment. Higher manager sentiment precedes lower aggregate earnings surprises and greater aggregate investment growth. Moreover, manager sentiment negatively predicts cross-sectional stock returns, particularly for firms that are difficult to value and costly to arbitrage. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：126 / 149

页数：24

共 50 条

[21] Impact of Investor Sentiment on Stock Returns* [J].

Kim, Youngkwang ;

Lee, Kaun Y. .

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2022, 51 (01) :132-162

[22] StockTwits classified sentiment and stock returns [J].

Marc-Aurèle Divernois ;

Damir Filipović .

Digital Finance, 2024, 6 (2) :249-281

[23] Individual Investor Sentiment and Stock Returns: Evidence from the Korean Stock Market [J].

Kim, Minhyuk ;

Park, Jinwoo .

EMERGING MARKETS FINANCE AND TRADE, 2015, 51 :S1-S20

[24] Cash conversion cycle and aggregate stock returns [J].

Lin, Qi ;

Lin, Xi .

JOURNAL OF FINANCIAL MARKETS, 2021, 52

[25] A weekly sentiment index and the cross-section of stock returns [J].

Xu, Hai-Chuan ;

Zhou, Wei-Xing .

FINANCE RESEARCH LETTERS, 2018, 27 :135-139

[26] THE INTERACTION BETWEEN MICROBLOG SENTIMENT AND STOCK RETURNS: AN EMPIRICAL EXAMINATION [J].

Deng, Shuyuan ;

Huang, Zhijian ;

Sinha, Atish P. ;

Zhao, Huimin .

MIS QUARTERLY, 2018, 42 (03) :895-+

[27] Social Media Sentiment in International Stock Returns and Trading Activity [J].

Selin, Duz Tan ;

Tas, Oktay .

JOURNAL OF BEHAVIORAL FINANCE, 2021, 22 (02) :221-234

[28] Investor sentiment and the prediction of stock returns: a quantile regression approach [J].

Ma, Chaoqun ;

Xiao, Shisong ;

Ma, Zonggang .

APPLIED ECONOMICS, 2018, 50 (50) :5401-5415

[29] Manager sentiment, deal characteristics, and takeover performance [J].

An, Suwei ;

Liu, Yi ;

Tan, Xiaofen ;

Wu, Kai .

BRITISH ACCOUNTING REVIEW, 2024, 56 (06)

[30] Investor sentiment and stock returns: Global evidence [J].

Wang, Wenzhao ;

Su, Chen ;

Duxbury, Darren .

JOURNAL OF EMPIRICAL FINANCE, 2021, 63 :365-391

← 1 2 3 4 5 →