Subject：Analyst Sentiment and Market Returns

Guest：Jun Tu, Associate Professor, Singapore Management University

Host：Wu Wenfeng,  Professor, ACEM of SJTU

Time：Thursday, April 7, 2022, 10:30-12:00

Venue：Tencent Meeting 

(Please send email to finance@acem.sjtu.edu.cn by 12:00 April. 6th for meeting number and password.) 

Abstract：

By analyzing about 780,000 analyst reports, we construct an analyst sentiment index based on the aggregated textual tone of analyst reports. The analyst sentiment index strongly and negatively predicts future aggregate stock market returns with an in-sample R2 of 8.62% and an out-of-sample R2 of 4.05% at monthly horizon. Its predictive power is economically comparable to and is informationally not subsumed by existing measures of investor sentiment and manager sentiment. Moreover, lower aggregate earnings surprises follows higher financial analyst sentiment. Additionally, textual analyst sentiment tends to summarize and capture the sentiment contained in the numerical forecasts.

Guest Bio：

Professor Jun Tu is Assistant Professor of Finance (from July 2004 to June 2012) and Associate Professor of Finance (from July 2012) at the Singapore Management University (SMU).  Prof Tu has served as the center director for the Centre for Asset Securitisation and Management in Asia at SMU from 2012 to 2014. He has been serving as Associate Editor for Journal of Economic Dynamics and Control (2018 - present) and Associate Editor for the Emerging Markets Finance and Trade (2013 - present). In addition, prior to SMU, he was studying as a Finance PhD student at Washington University in St. Louis. His main research interests are in Behavioral Finance, Empirical Asset Pricing, FinTech, Big Data and Machine Learning, Textual Analysis, Corporate Finance, Media and Asset markets, Financial Econometrics, International Finance. He is a receiver of several awards, including The Most-Cited Paper Reward (2015-2016) at Review of Financial Studies, Lee Foundation Fellowship for Research Excellence at SMU, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), and Research Fellowship at Washington University in St. Louis. His research articles have been published in top academic journals, including Journal of Finance, Journal of Financial Economics, Management Science, and Review of Financial Studies. Besides academic impacts, his research has also been synthesized by leading industry-oriented journals, such as The CFA Digest, Citibank/UBS Reports.  In addition, Prof Tu has presented his research to industry leaders, academic experts, and government regulators at various places.