Are All the Sentiment Measures the Same?

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-07-24 DOI:10.1080/15427560.2021.1949718

Qiang Bu

引用次数: 2

Abstract

Abstract The author examines whether the direct and indirect sentiment measures are distinct from each other. The author finds that the 2 types of sentiment measures have a relatively low correlation between them. The direct sentiment measures have significant explanatory power on contemporaneous stock returns, whereas the indirect sentiment measures have a lagging effect in such explanatory power. If both sentiment measures are used in a model, one can observe a strong synergistic effect in adjusted R 2. One can find that the indirect measures’ predictive power on future stock return is remarkably higher than that of the direct measures. Also, the indirect measures are mainly driven by short-term interest rate, whereas stock returns most drive the direct measures.

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所有的情绪指标都一样吗?

摘要本文探讨了直接情感测量和间接情感测量是否存在差异。笔者发现，两类情绪测度之间的相关性相对较低。直接情绪测度对同期股票收益的解释能力显著，而间接情绪测度对同期股票收益的解释能力存在滞后效应。如果在一个模型中使用两种情绪测量，可以观察到调整后的r2具有很强的协同效应。可以发现，间接测度对股票未来收益的预测能力显著高于直接测度。此外，间接指标主要由短期利率驱动，而股票收益主要由直接指标驱动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.