In this project, we developed codes in Stata for investigating the impact of investor sentiment on the relationship between disagreement among investors and future stock market returns. Several researchers have recently investigated this topic ( Antoniou, et al. (2015); Cen and Yang (2013); Kim et al. (2014))
Our code completes the following tasks:
Portfolios and risk factor
1.Converts raw data into Stata ready format
2. classify firms into groups based on sentiment / disagreement index of the firm
3. Calculates weighted / equally weighted returns for each group
4. Tests the above portfolio returns for any systematic pattern across portfolios
5. Make a risk factor from the sentiment / disagreement extreme portfolios
6. Tests the risk factor using GRS test
For testing the predictive power of sentiment / disagreement factors, we further perform the following steps.
1.Create business calendar date to counter the issue of weekends and holidays. That is a necessary step when constructing momentum strategies.
2. Create momentum portfolios and track their cumulative returns up to 25 days
3. Use t-tests to see whether the returns are statistically significant
4. Report the result using asdoc
The above codes can be further customized to the specific needs of our customers.
The general pricing details can be found on this page https://fintechprofessor.com/paid-help/paid-help-pricing/
These codes are available with two options. If you need the codes as is, the price is $100 per model. The second option has a price of $150, where we adjust the code according to your data and variable names so that the application of the codes is smooth.
How to order
Please contact us at:
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2015). Investor sentiment, beta, and the cost of equity capital. Management Science, 62(2), 347-367.
Cen, L., Lu, H., & Yang, L. (2013). Investor sentiment, disagreement, and the breadth–return relationship. Management Science, 59(5), 1076-1091.
Kim, J. S., Ryu, D., & Seo, S. W. (2014). Investor sentiment and return predictability of disagreement. Journal of Banking & Finance, 42, 166-178.