Article ; Online: Mood Beta, Sentiment and Stock Returns in China
SAGE Open, Vol
2022 Volume 12
Abstract: We examine the cross-sectional seasonality of stock excess returns in China. We find that stocks’ historical excess returns are positively related to their future excess returns under a congruent-mood period and negatively associated with their future ... ...
Abstract | We examine the cross-sectional seasonality of stock excess returns in China. We find that stocks’ historical excess returns are positively related to their future excess returns under a congruent-mood period and negatively associated with their future excess returns under a noncongruent-mood period. Besides, stocks with larger mood beta tend to outperform during mood periods, and this impact is still significant after differentiating companies. Moreover, consistent with our hypotheses, mood beta has stronger explanatory power after China’s unique Split-Share Structure Reform and RMB Exchange Rate Reform. Finally, mood beta has stronger explanatory power compared to sentiment beta during ascending and descending mood months. |
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Keywords | History of scholarship and learning. The humanities ; AZ20-999 ; Social Sciences ; H |
Language | English |
Publishing date | 2022-02-01T00:00:00Z |
Publisher | SAGE Publishing |
Document type | Article ; Online |
Database | BASE - Bielefeld Academic Search Engine (life sciences selection) |
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