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Bottom-up sentiment and return predictability of the market portfolio

Guo, Jiaqi; Li, Youwei; Zheng, Min

Authors

Jiaqi Guo

Min Zheng



Abstract

This paper provides strong evidence that market sentiment measured bottom-up from individual-stock sentiment is negatively related to future long-term market returns and is positively correlated with contemporaneous returns.

Citation

Guo, J., Li, Y., & Zheng, M. (2019). Bottom-up sentiment and return predictability of the market portfolio. Finance research letters, 29, 57-60. https://doi.org/10.1016/j.frl.2019.03.008

Journal Article Type Article
Acceptance Date Mar 2, 2019
Online Publication Date Mar 5, 2019
Publication Date 2019-06
Deposit Date Mar 19, 2019
Publicly Available Date Mar 6, 2020
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 29
Pages 57-60
DOI https://doi.org/10.1016/j.frl.2019.03.008
Keywords Bottom-up sentiment; Market return predictability
Public URL https://hull-repository.worktribe.com/output/1389508
Publisher URL https://www.sciencedirect.com/science/article/pii/S1544612318308353?via%3Dihub
Contract Date Mar 22, 2019

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