Dependence matters! Investor sentiment and stock returns: A sliced inverse regression approach
用切片逆回归方法从多个代理变量中提取信息构建新投资者情绪指数，发现该指数能强负向预测未来股市整体收益，并给均值方差投资者带来大效用增益，对按规模、价值、动量、行业分类的投资组合预测力最强。
Abstract We construct a new investor sentiment index by exploiting the information of the sentiment proxies with the sliced inverse regression approach. We show that the new index is a strong negative predictor of future aggregate stock returns in both in‐sample and out‐of‐sample tests. Further evidence indicates that the new sentiment index generates large utility gains for a mean‐variance investor who optimally allocates between equities and risk‐free assets. In addition, we show that this sentiment index exhibits the strongest return predictability for portfolios sorted on size, value, momentum, and industry.