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

被引：43
|
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
收藏
页码：966 / 972
页数：7
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