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Sentiment stocks

机译：情感股票

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摘要

To study how investor sentiment at the firm level affects stock returns, we match more than 58 million social media messages in China with listed firms and construct a measure of individual stock sentiment based on the tone of those messages. We document that positive investor sentiment predicts higher stock risk-adjusted returns in the very short term followed by price reversals. This association between stock sentiment and stock returns is not explained by observable stock characteristics, unobservable time-invariant characteristics, market-wide sentiment, overreaction to news, or changing investor attention. Consistent with theories of investor sentiment, we find that the link between sentiment and stock returns is mainly driven by positive sentiment and non-professional investors. Finally, exploiting a unique feature of the Chinese stock market, we are able to isolate the causal effect of sentiment on stock returns from confounding factors.
机译：为了研究企业级别的投资者情绪如何影响股票回报，我们将在中国匹配超过5800万个社交媒体信息，并根据这些信息的基调构建一个衡量个人股票情绪的衡量标准。我们记录了积极的投资者情绪预测较高的股票风险调整后的回报，其次是价格逆转。股票情绪和股票回报之间的这种关联未被可观察到的股票特征解释，不可观察的时间不变的特征，市场广泛的情绪，过度反应，或改变投资者的关注。与投资者情绪的理论一致，我们发现情绪与股票回报之间的联系主要由积极情绪和非专业投资者推动。最后，利用中国股市的独特特征，我们能够隔离对股票回报的因果效果免受混杂因素。

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