{"title":"基于情绪的交易策略有利可图吗?","authors":"Karam Kim, Doojin Ryu, Jinyoung Yu","doi":"10.1080/10293523.2022.2076373","DOIUrl":null,"url":null,"abstract":"ABSTRACT We examine whether sentiment indices predict individual firms’ stock returns and evaluate the performances of sentiment-based trading strategies in the Korean equity market. We find that the sentiment indices (constructed using the principal component analysis (PCA) and overnight stock returns) positively predict stock price movements, whereas news sentiment does not significantly determine future stock returns. A comparison of portfolio performances among sentiment indices reveals that the long-short equity strategy based on PCA sentiment changes yields the highest return – a result that is not explained by well-known risk factors. Moreover, investors may earn even greater returns by employing multiple sentiment measures when constructing portfolios, suggesting that each measure reflects different aspects of investor sentiment.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"94 - 107"},"PeriodicalIF":1.2000,"publicationDate":"2022-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Is a sentiment-based trading strategy profitable?\",\"authors\":\"Karam Kim, Doojin Ryu, Jinyoung Yu\",\"doi\":\"10.1080/10293523.2022.2076373\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"ABSTRACT We examine whether sentiment indices predict individual firms’ stock returns and evaluate the performances of sentiment-based trading strategies in the Korean equity market. We find that the sentiment indices (constructed using the principal component analysis (PCA) and overnight stock returns) positively predict stock price movements, whereas news sentiment does not significantly determine future stock returns. A comparison of portfolio performances among sentiment indices reveals that the long-short equity strategy based on PCA sentiment changes yields the highest return – a result that is not explained by well-known risk factors. Moreover, investors may earn even greater returns by employing multiple sentiment measures when constructing portfolios, suggesting that each measure reflects different aspects of investor sentiment.\",\"PeriodicalId\":44496,\"journal\":{\"name\":\"Investment Analysts Journal\",\"volume\":\"51 1\",\"pages\":\"94 - 107\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2022-04-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investment Analysts Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/10293523.2022.2076373\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investment Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/10293523.2022.2076373","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
ABSTRACT We examine whether sentiment indices predict individual firms’ stock returns and evaluate the performances of sentiment-based trading strategies in the Korean equity market. We find that the sentiment indices (constructed using the principal component analysis (PCA) and overnight stock returns) positively predict stock price movements, whereas news sentiment does not significantly determine future stock returns. A comparison of portfolio performances among sentiment indices reveals that the long-short equity strategy based on PCA sentiment changes yields the highest return – a result that is not explained by well-known risk factors. Moreover, investors may earn even greater returns by employing multiple sentiment measures when constructing portfolios, suggesting that each measure reflects different aspects of investor sentiment.
期刊介绍:
The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.