经理人情绪和股票回报
Journal of Financial Economics; October 2018
作者：Fuwei Jiang (Central University of Finance and Economics);
Joshua Lee (University of Georgia)；
Xiumin Martin (Washington University in St. Louis);
Guofu Zhou (Washington University in St. Louis)
摘要：本文基于公司财务披露的总体文本基调构建经理人情绪指数。我们发现经理人情绪是未来总股票市场收益的强烈负面预测因素，月度样本内和样本外的R2分别为9.75％和8.38％，远远高于以往研究的其他宏观经济变量的预测能力。其预测能力在经济上具有可比性，并且在信息上补充了现有的投资者情绪衡量方法。较高的经理人情绪预示着较低的总收益意外和更大的总投资增长。此外，经理人情绪消极地预测股票的横截面回报，特别是对于难以估价且套利成本高的公司。
关键词：经理人情绪；文本基调；投资者情绪；资产定价；回报可预测性
Manager sentiment and stock returns
Fuwei Jiang (Central University of Finance and Economics); Joshua Lee (University of Georgia)；Xiumin Martin (Washington University in St. Louis); Guofu Zhou (Washington University in St. Louis)
ABSTRACT
This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existing measures of investor sentiment. Higher manager sentiment precedes lower aggregate earnings surprises and greater aggregate investment growth. Moreover, manager sentiment negatively predicts cross-sectional stock returns, particularly for firms that are difficult to value and costly to arbitrage.
Keywords: Manager sentiment; Textual tone; Investor sentiment; Asset pricing; Return predictability
翻译：黄涛
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