文献类型：期刊文献

英文题名：A weekly sentiment index and the cross-section of stock returns

作者：Xu, Hai-Chuan[1,2];Zhou, Wei-Xing[1,2,3]

机构：[1]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2018

卷号：27

起止页码：135

外文期刊名：FINANCE RESEARCH LETTERS

收录：;WOS:【SSCI(收录号:WOS:000454462300020)】；

基金：We acknowledge financial support from National Natural Science Foundation of China (71501072, 71532009) and the Fundamental Research Funds for the Central Universities (222201718006).

语种：英文

外文关键词：Investor sentiment; Partial least squares; Return predictability

摘要：Using the partial least squares approach, we construct an aligned sentiment index at weekly frequency. We investigate the predictive power of short-term investor sentiment on the characteristic-sorted portfolio returns. We find that sentiment changes have a positive impact on future stock returns in the Chinese A-share market. We further uncover that the predictive power of the sentiment index is the most significant for the small-size portfolio.