【摘 要】
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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
【机 构】
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Department of Accountancy and Finance, University of Otago;Department of Financial Economics, Ghent
论文部分内容阅读
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.
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