Do optimistic portfolios outperform pessimistic portfolios: Evidence from textual sentiment
研究了新闻和社交媒体文本情绪对股票横截面收益的解释力，发现乐观情绪投资组合的平均回报始终高于悲观组合。
We examine whether textual sentiment (from news and social media) explains the cross-section of stock returns. Sentiment scores are used to sort stocks into tercile portfolios daily. Various asset pricing models, including CAPM and Fama-French models, are used to assess the sentiment's impact on returns after accounting for traditional risk factors. Results show that portfolios with higher (optimistic) sentiment consistently yield better average returns across the two sentiment measures and the different asset pricing models.