Abstract

The author examines whether the direct and indirect sentiment measures are distinct from each other. The author finds that the 2 types of sentiment measures have a relatively low correlation between them. The direct sentiment measures have significant explanatory power on contemporaneous stock returns, whereas the indirect sentiment measures have a lagging effect in such explanatory power. If both sentiment measures are used in a model, one can observe a strong synergistic effect in adjusted R². One can find that the indirect measures’ predictive power on future stock return is remarkably higher than that of the direct measures. Also, the indirect measures are mainly driven by short-term interest rate, whereas stock returns most drive the direct measures.

摘要

作者检查了直接和间接情绪度量是否彼此不同。作者发现这两种情绪指标之间的相关性相对较低。直接情绪指标对同期股票收益具有显着的解释力，而间接情绪指标在这种解释力上具有滞后效应。如果在模型中同时使用两种情绪度量，则可以在调整后的R ²中观察到强烈的协同效应。可以发现间接指标对未来股票收益的预测能力明显高于直接指标。此外，间接指标主要受短期利率驱动，而股票收益主要驱动直接指标。