The 29th Frontier Forum for Digital Technology and Finance

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 Introduction:

Jun Tu is a professor in the Department of Finance at Antai College of Economics and Management, Shanghai Jiao Tong University, and also a professor at the Zhongyin Institute of Technology Finance, Shanghai Jiao Tong University. He obtained his Ph.D. in Finance from the University of Washington in 2004 and joined the Lee Kong Chian School of Business, Singapore Management University in the same year. His research areas cover behavioral finance, financial technology, text analysis and machine learning, financial econometrics, asset pricing, investor sentiment, media and capital markets, asset return prediction, portfolio management, corporate finance, and more. Professor Tu Jun has published numerous academic papers in top international finance journals, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. His research has received various research awards, including the Review of Financial Studies 2015-2016 Highest Read Paper Award and Highest Cited Paper Award, Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), and the University of Washington Research Fellowship. Currently, Professor Tu Jun serves as the associate editor of Journal of Economic Dynamics and Control, associate editor of China Finance Review International, and the field editor of Emerging Markets Finance and Trade.