Comovements between multidimensional investor sentiment and returns on internet financial products

Rongda Chen, Shengnan Wang, Chenglu Jin, Jingjing Yu, Xinyu Zhang and Shuonan Zhang

International Review of Financial Analysis, 2023, vol. 85, issue C

Abstract: We establish multidimensional investor sentiments of Internet financial products (ISIFP) using a text mining method and data from WeChat subscriptions in China. Our comprehensive ISIFP measure is more affected by negative sentiment information. We investigate eight dimensions of ISIFP and find that seven sentiments (joy, anger, sadness, fear, calmness, disgust, and surprise) increase market risk and decrease expected returns, whereas the goodness sentiment has a leverage effect on returns on Internet financial products (IFPs). The dimensions of ISIFP have different impacts on returns on IFPs at different quantiles.

Keywords: Internet financial products; Multidimensional investor sentiment; WeChat subscription accounts; Text mining; Comovements (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521922003830
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003830

DOI: 10.1016/j.irfa.2022.102433

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().