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- W2607389631 abstract "This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of out-of-sample evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market, as it predicts negatively future returns over the longer horizons and in the cross section." @default.
- W2607389631 created "2017-04-28" @default.
- W2607389631 creator A5071056392 @default.
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- W2607389631 date "2017-06-01" @default.
- W2607389631 modified "2023-10-03" @default.
- W2607389631 title "Can investor sentiment be a momentum time-series predictor? Evidence from China" @default.
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- W2607389631 doi "https://doi.org/10.1016/j.jempfin.2017.04.001" @default.
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