{"title":"跳跃波动和特定公司的投资者情绪","authors":"Chen Wang, Xiong Xiong, Xiao Li","doi":"10.1111/jifm.12209","DOIUrl":null,"url":null,"abstract":"<p>Literature on investor sentiment has predominantly been conducted at the market level. Recent studies employing firm-level sentiment have increasingly turned to textual analysis; however, the suitability of this type of proxy is still unverified. We utilize the Chinese stock market data from 2015 to 2023, aiming to discern whether the jump component of realized volatility possesses characteristics of investor sentiment. Our analysis reveals a pronounced short-term persistence in jump volatility, particularly, among stocks that are hard to value and those with minimal institutional ownership. Further, we find that stocks exhibiting high monthly jump volatility consistently exhibit underperformance over extended periods, corroborating the hypothesis of sentiment-induced temporary mispricing phenomena. Significantly, our findings advocate for the adoption of the jump component of realized volatility as a proxy for firm-specific investor sentiment, offering a novel perspective in the sentiment analysis literature.</p>","PeriodicalId":46659,"journal":{"name":"Journal of International Financial Management & Accounting","volume":"35 3","pages":"694-722"},"PeriodicalIF":9.4000,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Jump volatility and firm-specific investor sentiment\",\"authors\":\"Chen Wang, Xiong Xiong, Xiao Li\",\"doi\":\"10.1111/jifm.12209\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Literature on investor sentiment has predominantly been conducted at the market level. Recent studies employing firm-level sentiment have increasingly turned to textual analysis; however, the suitability of this type of proxy is still unverified. We utilize the Chinese stock market data from 2015 to 2023, aiming to discern whether the jump component of realized volatility possesses characteristics of investor sentiment. Our analysis reveals a pronounced short-term persistence in jump volatility, particularly, among stocks that are hard to value and those with minimal institutional ownership. Further, we find that stocks exhibiting high monthly jump volatility consistently exhibit underperformance over extended periods, corroborating the hypothesis of sentiment-induced temporary mispricing phenomena. Significantly, our findings advocate for the adoption of the jump component of realized volatility as a proxy for firm-specific investor sentiment, offering a novel perspective in the sentiment analysis literature.</p>\",\"PeriodicalId\":46659,\"journal\":{\"name\":\"Journal of International Financial Management & Accounting\",\"volume\":\"35 3\",\"pages\":\"694-722\"},\"PeriodicalIF\":9.4000,\"publicationDate\":\"2024-05-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Financial Management & Accounting\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jifm.12209\",\"RegionNum\":3,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Management & Accounting","FirstCategoryId":"91","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jifm.12209","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Jump volatility and firm-specific investor sentiment
Literature on investor sentiment has predominantly been conducted at the market level. Recent studies employing firm-level sentiment have increasingly turned to textual analysis; however, the suitability of this type of proxy is still unverified. We utilize the Chinese stock market data from 2015 to 2023, aiming to discern whether the jump component of realized volatility possesses characteristics of investor sentiment. Our analysis reveals a pronounced short-term persistence in jump volatility, particularly, among stocks that are hard to value and those with minimal institutional ownership. Further, we find that stocks exhibiting high monthly jump volatility consistently exhibit underperformance over extended periods, corroborating the hypothesis of sentiment-induced temporary mispricing phenomena. Significantly, our findings advocate for the adoption of the jump component of realized volatility as a proxy for firm-specific investor sentiment, offering a novel perspective in the sentiment analysis literature.
期刊介绍:
The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.