Jiaqi Guo
Bottom-up sentiment and return predictability of the market portfolio
Guo, Jiaqi; Li, Youwei; Zheng, Min
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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https://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
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