政治信息的质量和回报的可预测性：来自投资者情绪和风险厌恶的证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-04-28 DOI:10.1016/j.jbankfin.2025.107469

Jędrzej Białkowski , Xiaopeng Wei

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引用次数: 0

摘要

在本研究中，我们考察了政治信息质量如何影响投资者情绪和风险厌恶对股市回报的预测效应。我们的分析表明，低质量的信息显著降低了投资者情绪的预测能力，而放大了风险厌恶的预测能力。此外，将政治信息质量的代理纳入预测回归模型显着提高了其解释力。总体而言，我们的研究结果提供了令人信服的证据，证明信息质量在塑造金融市场动态方面发挥着关键作用。

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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Quality of political information and return predictability: Evidence from investor sentiment and risk aversion

In this study, we examine how political information quality influences the predictive effects of investor sentiment and risk aversion on stock market returns. Our analysis reveals that low-quality information significantly diminishes the predictive power of investor sentiment while amplifying that of risk aversion. Moreover, incorporating a proxy for political information quality into predictive regression models significantly enhances their explanatory power. Overall, our results provide compelling evidence that the quality of information plays a critical role in shaping the dynamics of financial markets.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.