Sentiment Beta and Asset Prices: Evidence from China

Fengjiao Lin and Zhigang Qiu

Emerging Markets Finance and Trade, 2023, vol. 59, issue 1, 78-89

Abstract: This article examines the relationship between sentiment beta and stock returns in Chinese stock market. Stocks with low (negative) sentiment beta significantly outperform those with high (positive) sentiment beta. When arbitrage is highly restricted or the stocks are difficult to value, the negative relationship between sentiment beta and stock returns is more pronounced. Further investigation shows that the results are mainly driven by periods of crisis and low economic policy uncertainty (EPU). In general, there exists an against minus catering sentiment (AMC) pricing factor in China.

Date: 2023
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DOI: 10.1080/1540496X.2022.2093102

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