Bottom-up sentiment and return predictability of the market portfolio

Jiaqi Guo, Youwei Li and Min Zheng

Finance Research Letters, 2019, vol. 29, issue C, 57-60

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 (search for similar items in EconPapers)
JEL-codes: G12 G41 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:57-60

DOI: 10.1016/j.frl.2019.03.008

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