Analyst Report Tones as a Barometer of Investor Sentiment

Abstract

By aggregating tones from analyst reports, we introduce a market-level analyst sentiment index to assess investor sentiment. As investor sentiment escalates, analyst sentiment tends to align, often endorsing rather than challenging investor optimism. Notably, our index is potentially more adept at capturing variations in investor sentiment in recent years, compared to traditional indices which exhibit minimal variation over time. Moreover, our analyst sentiment index inversely predicts stock market returns, outperforming conventional sentiment indices in terms of predictive capability. Essentially, analyst sentiment offers a unique and valuable lens for evaluating investor sentiment.

Speaker Intro

凃俊，上海交通大学安泰经济与管理学院金融系教授、上海交通大学中银科技金融学院教授。2004年获得华盛顿大学金融学博士学位，并于同年加入新加坡管理大学李光前商学院。研究领域涉及行为金融、金融科技、文本分析和机器学习、金融计量、资产定价、投资者情绪、媒体和资本市场、资产回报预测、投资组合管理、公司金融等。已经在顶级国际学术期刊上发表多篇学术论文，包括Journal of Financial Economics、Review of Financial Studies、Journal of Financial and Quantitative Analysis、Management Science。自2007年以来，还指导了多位学术型博士生和硕士生，现任教于美国、澳洲、中国等地的一流学府。兼任亚洲资产证券化管理研究中心主任（2012-2014），Journal of Economic Dynamics and Control副主编（2018-），China Finance Review International副主编（2021-）以及Emerging Markets Finance and Trade领域主编（2013-）等职务。