Anger in predicting the index futures returns
研究发现，基于文本的愤怒情绪指数能可靠预测标普500股指期货收益，其预测能力优于其他情绪指标和基本面变量，并能通过折现率和现金流渠道产生影响。
Abstract This paper aims to investigate how different emotions affect the subsequent index futures returns. We test the forecasting regressions which predict the S&P 500 index futures returns with lagged text‐based emotion (anger, joy, fear, optimism, and gloom) indices and find asymmetric forecasting power exists between pessimism and optimism emotion indices. We show that only the text‐based anger index could reliably perform at predicting index futures return in‐sample and outperform the prevailing unconditional mean out‐of‐sample. Notably, the predictive power of the text‐based anger index persists after controlling for other emotion indices, investor sentiment indices, and fundamental variables known to predict the futures market. And the asset allocation conditioning on text‐based anger index can generate substantial economic benefits. Furthermore, the anger index influences the index futures return through both the discount rate and cash flow channels.