A weekly sentiment index and the cross-section of stock returns

作者：Xu, Hai-Chuan; Zhou, Wei-Xing^*

来源：Finance Research Letters, 2018, 27: 135-139.

DOI：10.1016/j.frl.2018.02.009

• Investor sentiment
• Partial least squares
• Return predictability

Using the partial least squares approach, we construct an aligned sentiment index at weekly frequency. We investigate the predictive power of short-term investor sentiment on the characteristic-sorted portfolio returns. We find that sentiment changes have a positive impact on future stock returns in the Chinese A-share market. We further uncover that the predictive power of the sentiment index is the most significant for the small-size portfolio.

• 出版日期2018-12
• 单位华东理工大学