We use retail structured equity product (SEP) issuances to construct a new sentiment measure for large capitalization stocks. The SEP sentiment measure predicts negative abnormal returns on the SEP reference stocks based on a variety of factor models, and also predicts returns in Fama-MacBeth regressions that include a wide range of covariates. Consistent with our interpretation that SEP issuances reflect investor sentiment, aggregate SEP issuances are highly correlated with the Baker-Wurgler sentiment index. Tobit regressions reveal that proxies for attention and sentiment predict SEP issuance volumes, providing additional evidence consistent with the hypothesis that SEP issuances reflect sentiment.

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零售衍生品和情绪：根据零售结构性股票产品发行构建的情绪指标

我们使用零售结构性股票产品（SEP）发行来构建大市值股票的新情绪指标。SEP 情绪指标基于各种因子模型预测 SEP 参考股票的负异常回报，并预测包含各种协变量的 Fama-MacBeth 回归中的回报。与我们关于 SEP 发行反映投资者情绪的解释一致，SEP 发行总量与 Baker-Wurgler 情绪指数高度相关。Tobit 回归表明，注意力和情绪的代理可以预测 SEP 的发行量，从而提供了与 SEP 发行反映情绪的假设相一致的额外证据。