Events Calendar

Jia Li, Duke University


Thursday, April 25, 2019, 04:00pm - 05:30pm

Jia Li, Duke University

"Measuring China’s stock market sentiment"

Abstract: This paper develops textual sentiment measures for China’s stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word lists and supervised machine-learning methods (support vector machine and convolutional neural network). The market-level textual sentiment index is constructed as the average of message-level sentiment scores, and the textual disagreement index is constructed as their dispersion. These textual measures allow us to test a range of predictions of classical behavioral asset-pricing models within a unified empirical setting. We find that textual sentiment can significantly predict market return, exhibiting a salient underreaction-overreaction pattern on a time scale of several months. This effect is more pronounced for small and growth stocks, and is stronger under higher investor attention and during more volatile periods. We also find that textual sentiment exerts a significant and asymmetric impact on future volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there are more differences of opinion, as measured by our textual disagreement. Based on a massive textual dataset, our analysis provides support for the noise-trading theory and the limits-to-arbitrage argument, as well as predictions from limited-attention and disagreement models.
Location  NJ Hall 3rd Floor Library
Contact  Yuan Liao

Upcoming Events

Wed Apr 08 @ 2:45PM - 04:15PM
Micro Theory/Experimental Seminar
CANCELLED - R Vijay Krishna, Florida State University
Wed Apr 15 @ 2:45PM - 04:15PM
Micro Theory/Experimental Seminar
CANCELLED - Rodrigo Velez, Texas A & M University
Fri Apr 17 @ 2:00PM - 03:30PM
Empirical Microeconomics
CANCELLED - Risch, Princeton University
Mon Apr 20 @ 2:30PM - 04:00PM
Money, History and Finance
CANCELLED - Simon Hinrichsen, London School of Economics
Tue Apr 21 @ 2:50PM - 04:10PM
Macroeconomic Theory
CANCELLED - Cesar Sosa-Padilla, Notre Dame, visiting Princeton University
Wed Apr 22 @ 2:45PM - 04:15PM
Micro Theory/Experimental Seminar
CANCELLED - Vojta Bartos, Munich visiting Princeton University
Thu Apr 23 @ 4:00PM - 05:30PM
CANCELLED - Robert Sherman, CalTech
Fri Apr 24 @ 2:00PM - 03:30PM
Empirical Microeconomics
CANCELLED - Katherine Michelmore, Syracuse University
Thu Apr 30 @ 4:00PM - 05:30PM
CANCELLED - Yaroslav Mukhin, Massachusettes Institute of Technology
Fri May 01 @ 2:00PM - 03:30PM
Empirical Microeconomics
CANCELLED - Andrea Ciani, Düsseldorf Institute for Competition Economics