发帖
雷达卡
英文标题：
《Does the time horizon of the return predictive effect of investor
sentiment vary with stock characteristics? A Granger causality analysis in
the frequency domain》
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作者：
Yong Jiang, Zhongbao Zhou
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最新提交年份：
2018
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英文摘要：
Behavioral theories posit that investor sentiment exhibits predictive power for stock returns, whereas there is little study have investigated the relationship between the time horizon of the predictive effect of investor sentiment and the firm characteristics. To this end, by using a Granger causality analysis in the frequency domain proposed by Lemmens et al. (2008), this paper examine whether the time horizon of the predictive effect of investor sentiment on the U.S. returns of stocks vary with different firm characteristics (e.g., firm size (Size), book-to-market equity (B/M) rate, operating profitability (OP) and investment (Inv)). The empirical results indicate that investor sentiment has a long-term (more than 12 months) or short-term (less than 12 months) predictive effect on stock returns with different firm characteristics. Specifically, the investor sentiment has strong predictability in the stock returns for smaller Size stocks, lower B/M stocks and lower OP stocks, both in the short term and long term, but only has a short-term predictability for higher quantile ones. The investor sentiment merely has predictability for the returns of smaller Inv stocks in the short term, but has a strong short-term and long-term predictability for larger Inv stocks. These results have important implications for the investors for the planning of the short and the long run stock investment strategy.
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中文摘要：
行为理论认为投资者情绪对股票收益具有预测能力，但很少有研究探讨投资者情绪预测效果的时间范围与公司特征之间的关系。为此，通过使用Lemmens et al.（2008）提出的频域格兰杰因果关系分析，本文检验了投资者情绪对美国股票回报预测影响的时间范围是否因不同的公司特征（例如，公司规模（size）、账面市盈率（B/M）、运营盈利能力（OP）和投资（Inv））而不同。实证结果表明，投资者情绪对不同公司特征的股票收益率具有长期（12个月以上）或短期（12个月以下）预测作用。具体而言，投资者情绪在短期和长期内对小型股、低B/M股和低OP股的股票回报具有很强的可预测性，但对较高分位数的股票只有短期可预测性。投资者情绪仅对短期内较小的投资股票的回报具有可预测性，但对较大的投资股票具有较强的短期和长期可预测性。这些结果对投资者制定短期和长期的股票投资策略具有重要的指导意义。
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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