Manager sentiment and stock returns

• 成果类型: Article
• 署名作者: Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu
• 署名单位: Central University of Finance & Economics; University System of Georgia; University of Georgia; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.10.001
• 发表日期: 2019
• 页码: 126-149
• 关键词: Manager sentiment; Textual tone; Investor sentiment; asset pricing; Return predictability

摘要

This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample Res of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existing measures of investor sentiment. Higher manager sentiment precedes lower aggregate earnings surprises and greater aggregate investment growth. Moreover, manager sentiment negatively predicts cross-sectional stock returns, particularly for firms that are difficult to value and costly to arbitrage. (C) 2018 Elsevier B.V. All rights reserved.