Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method

Cai, Yi; Tang, Zhenpeng; Chen, Ying

doi:10.1016/j.najef.2024.102147

The North American Journal of Economics and Finance

2024

DOI: 10.1016/j.najef.2024.102147

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Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method

Yi Cai,

Zhenpeng Tang,

Ying Chen

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Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method

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References 65 publications

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