یک شاخص احساسات در هفته و مقطع بازده سهام

Using the partial least squares approach, we construct an aligned sentiment index at weekly frequency. We investigate the predictive power of short-term investor sentiment on the characteristic-sorted portfolio returns. We find that sentiment changes have a positive impact on future stock returns in the Chinese A-share market. We further uncover that the predictive power of the sentiment index is the most significant for the small-size portfolio.