dc.contributor.author |
Han, Xing |
|
dc.contributor.author |
Li, Youwei |
|
dc.date.accessioned |
2023-03-10T03:38:48Z |
|
dc.date.available |
2023-03-10T03:38:48Z |
|
dc.date.issued |
2017-06 |
|
dc.identifier.citation |
(2017). Journal of Empirical Finance, 42, 212-239. |
|
dc.identifier.issn |
0927-5398 |
|
dc.identifier.uri |
https://hdl.handle.net/2292/63312 |
|
dc.description.abstract |
This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of “out-of-sample” evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market, as it predicts negatively future returns over the longer horizons and in the cross section. |
|
dc.language |
en |
|
dc.publisher |
Elsevier |
|
dc.relation.ispartofseries |
Journal of Empirical Finance |
|
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
|
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
|
dc.subject |
Social Sciences |
|
dc.subject |
Business, Finance |
|
dc.subject |
Economics |
|
dc.subject |
Business & Economics |
|
dc.subject |
Investor sentiment |
|
dc.subject |
Return predictability |
|
dc.subject |
Bias correction |
|
dc.subject |
China |
|
dc.subject |
MUTUAL FUND FLOWS |
|
dc.subject |
NOISE TRADER RISK |
|
dc.subject |
STOCK RETURNS |
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dc.subject |
CROSS-SECTION |
|
dc.subject |
ASSET PRICES |
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dc.subject |
MARKET |
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dc.subject |
REGRESSIONS |
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dc.subject |
ACCURACY |
|
dc.subject |
MODELS |
|
dc.subject |
TESTS |
|
dc.subject |
1402 Applied Economics |
|
dc.subject |
1403 Econometrics |
|
dc.subject |
1502 Banking, Finance and Investment |
|
dc.title |
Can investor sentiment be a momentum time-series predictor? Evidence from China |
|
dc.type |
Journal Article |
|
dc.identifier.doi |
10.1016/j.jempfin.2017.04.001 |
|
pubs.begin-page |
212 |
|
pubs.volume |
42 |
|
dc.date.updated |
2023-02-03T08:11:43Z |
|
dc.rights.holder |
Copyright: The authors |
en |
pubs.author-url |
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000403863200011&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e41486220adb198d0efde5a3b153e7d |
|
pubs.end-page |
239 |
|
pubs.publication-status |
Published |
|
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RetrictedAccess |
en |
pubs.subtype |
Article |
|
pubs.subtype |
Journal |
|
pubs.elements-id |
805304 |
|
dc.identifier.eissn |
1879-1727 |
|
pubs.record-created-at-source-date |
2023-02-03 |
|