Fund Portfolio Holdings and Affiliated Analyst's Objectivity: Do Equity and Employment Relationship Matter?

Yin, Yugang

doi:10.2139/ssrn.2733144

Cited by 1 publication

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“…ough there is consensus that news reports have predictive power for stock returns, there is still a lack of understanding of the specific impacts that different kinds of news have on the stock market [34]. As an important kind of news, research reports should also influence the stock market; this study will further investigate how research reports issued by securities companies affect stock returns by following prior researches [35,36].…”

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confidence: 97%

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Wang

2021

Discrete Dynamics in Nature and Society

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This paper investigates whether and how the research reports issued by securities companies affect stock returns from the perspective of investor sentiment in China. By collecting research reports and investor comments from a popular Chinese investor community, i.e., East Money, we derive two indices that represent the information contained in research reports: one is the attention of research reports and the other is the average stock rating given by research reports; then we develop an investor sentiment indicator using the machine learning method. Based on behavioral finance theory, we hypothesize that research reports have a significant effect on stock returns and investor sentiment plays a mediating role in it. The empirical analysis results confirm the above hypotheses. Specifically, the average stock rating given by research reports can better predict future stock returns, and investor sentiment plays a partial mediating role in the relationship between stock rating and stock returns.

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Section: 1mentioning

confidence: 97%

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Wang

2021

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

show abstract

Fund Portfolio Holdings and Affiliated Analyst's Objectivity: Do Equity and Employment Relationship Matter?

Cited by 1 publication

References 0 publications

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

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