Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model

Chunpeng Yang and Rengui Zhang

Applied Economics, 2014, vol. 46, issue 9, 966-972

Abstract: We examine whether mixed-frequency investor sentiment affects stock returns. In line with recent evidence from China, we find that the aggregate effect and the individual effect of mixed-frequency investor sentiment are statistically significant, and mixed-frequency investor sentiment is more important than the low-frequency one. Moreover, mixed-frequency investor sentiment, which is mixed by high-frequency data, can be more important than the market premium.

Date: 2014
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DOI: 10.1080/00036846.2013.864041

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