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