The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (31st December 2021)

• Record Type: Journal Article
• Authors: Shen, Xiaohong; Wang, Gaoshan; Wang, Yue
• Other Names: Peris Alfred Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2021(2021)
• Publication Date: 2021-12-31
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2021/5049179
• Languages: English
• ISSNs: 1026-0226

Abstract

Abstract : 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.