Bottom-up sentiment and return predictability of the market portfolio

Jiaqi Guo, Youwei Li, Min Zheng

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)57-60
Number of pages4
JournalFinance Research Letters
Volume29
Early online date5 Mar 2019
DOIs
Publication statusPublished - Jun 2019

Keywords

  • Bottom-up sentiment
  • Market return predictability

ASJC Scopus subject areas

  • Finance

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