Manager sentiment and stock returns
By Fuwei Jiang, Joshua A. Lee, Xiumin Martin, Guofu Zhou. Journal of Financial Economics, 2019
565 citations recorded by the source corpus.
This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existing measures of investor sentiment. Higher manager sentiment precedes lower aggregate earnings surprises and greater aggregate investment growth. Moreover, manager sentiment negatively predicts cross-sectional stock returns, particularly for firms that are difficult to value and costly to arbitrage.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/af125625b8cc1b9dcf451f342c7a0527b01b9c3b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
In Finance
- Guofu Zhou
- Dashan Huang
- Liyao Wang
- Jiangyuan Li
- Peter A. Forsyth
- David E. Rapach
- Paresh Kumar Narayan
- Jun Tu
Citations in the corpus
- Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models (2023, unknown): “Our paper also adds the literature that uses linguistic analyses of news articles to extract sentiment and predict stock returns.”
- Stock return predictability from a mixed model perspective (2020, unknown): “Following Rapach et al. (2010), Neely et al. (2014), and Zhang et al. (2019), the 2 OoSR linked to expansions and recessions ( 2 2 EXP ,OS OSR R， ，REC, respectively) is given by 2 , 2 1 , 2 , 1 ( ) 1 , ( ) T c i tt tt m OS c T c i tt tt m r r I R r r I for c=EXP, REC (27) Jo ur na l P re -”
- Time series momentum: Is it there? (2020, background): “In the literature, Jorion and Goetzmann (1999) show strong evidence that the equity premium varies across countries.”