数字技术与经济金融前沿论坛（第29期）

摘要：

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.

主讲人介绍：

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，于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。凃俊教授已经在金融国际顶级学术期刊上发表多篇学术论文，包括Journal of Finance、Journal of Financial Economics，Review of Financial Studies，Journal of Financial and Quantitative Analysis和Management Science。凃俊教授的研究获得多个研究奖项，包括Review of Financial Studies 2015-2016年度最高阅读次数奖和最高被引论文奖，Lee Foundation Fellowship for Research Excellence，Sing Lun Fellowship，Pacific Basin Finance Journal Prize (First Prize)和华盛顿大学研究奖学金。凃俊教授目前担任Journal of Economic Dynamics and Control副主编、China Finance Review International副主编、Emerging Markets Finance and Trade领域主编等职务。