Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model |
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Authors: | Chunpeng Yang |
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Institution: | School of Economics and Commerce, Finance and Security Center, South China University of Technology, Guangzhou, China |
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Abstract: | 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. |
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Keywords: | investor sentiment MIDAS regression model panel data model individual effect |
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