Bottom-up sentiment and return predictability of the market portfolio

Jiaqi Guo; Youwei Li; Min Zheng

doi:10.1016/j.frl.2019.03.008

Bottom-up sentiment and return predictability of the market portfolio

Jiaqi Guo, Youwei Li, Min Zheng

School of Economics, Finance and Accounting

Research output: Contribution to journal › Article › peer-review

11 Citations (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 language	English
Pages (from-to)	57-60
Number of pages	4
Journal	Finance Research Letters
Volume	29
Early online date	5 Mar 2019
DOIs	https://doi.org/10.1016/j.frl.2019.03.008
Publication status	Published - Jun 2019

Funding

Financial support from the National Natural Science Foundation of China (no. 71571197 ), the 111 Project (no. B17050 ) and the Beijing Natural Science Foundation (no. 9152016 ) are gratefully acknowledged.

Keywords

Bottom-up sentiment
Market return predictability

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2019.03.008

https://hull-repository.worktribe.com/output/1389508Licence: CC BY-NC-ND

Cite this

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title = "Bottom-up sentiment and return predictability of the market portfolio",

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.",

keywords = "Bottom-up sentiment, Market return predictability",

author = "Jiaqi Guo and Youwei Li and Min Zheng",

year = "2019",

month = jun,

doi = "10.1016/j.frl.2019.03.008",

language = "English",

volume = "29",

pages = "57--60",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier",

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T1 - Bottom-up sentiment and return predictability of the market portfolio

AU - Guo, Jiaqi

AU - Li, Youwei

AU - Zheng, Min

PY - 2019/6

Y1 - 2019/6

N2 - 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.

AB - 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.

KW - Bottom-up sentiment

KW - Market return predictability

UR - https://www.scopus.com/pages/publications/85062725934

U2 - 10.1016/j.frl.2019.03.008

DO - 10.1016/j.frl.2019.03.008

M3 - Article

AN - SCOPUS:85062725934

SN - 1544-6123

VL - 29

SP - 57

EP - 60

JO - Finance Research Letters

JF - Finance Research Letters

ER -

Bottom-up sentiment and return predictability of the market portfolio

Abstract

Funding

Keywords

ASJC Scopus subject areas

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