Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model

被引：44

作者：

Yang, Chunpeng ^{[1
]}

Zhang, Rengui ^{[1
,2
]}

机构：

[1] S China Univ Technol, Sch Econ & Commerce, Finance & Secur Ctr, Guangzhou, Guangdong, Peoples R China

[2] Shenzhen Polytech, Sch Econ, Shenzhen, Peoples R China

来源：

APPLIED ECONOMICS | 2014年 / 46卷 / 09期

基金：

中国国家自然科学基金;

关键词：

investor sentiment; MIDAS regression model; panel data model; individual effect; ASSET PRICING MODEL; MARKET;

D O I：

10.1080/00036846.2013.864041

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine whether mixed-frequency investor sentiment affects stock returns. In line with recent evidence from China, we find that the aggregate effect and the individual effect of mixed-frequency investor sentiment are statistically significant, and mixed-frequency investor sentiment is more important than the low-frequency one. Moreover, mixed-frequency investor sentiment, which is mixed by high-frequency data, can be more important than the market premium.

引用

页码：966 / 972

页数：7

共 22 条

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[2]

[Anonymous], 2004, CIRANO WORKING PAPER

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