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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.

Journal Article Type Article
Publication Date 2019-06
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 29
Pages 57-60
APA6 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
DOI https://doi.org/10.1016/j.frl.2019.03.008
Keywords Bottom-up sentiment; Market return predictability
Publisher URL https://www.sciencedirect.com/science/article/pii/S1544612318308353?via%3Dihub

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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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