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Investor Sentiment and the Cross-section of Stock Returns

Pilot Research Scheme

Henry Leung


Project Summary

According to classic finance theory investors act rational and security prices incorporate all available information, thereby reflecting the intrinsic firm value. This view is not always consistent with anecdotal observations about investor behavior which suggest that investors sometimes act sentimental. So far, prior studies had to employ indirect proxies for investor sentiment. The goal of this study is to generate a more direct measure of investors sentiment by measuring it directly through traditional and social media news. The ascent of big data and social media during the past decade presents a novel opportunity to observe investor sentiment through these social “peepholes” and may enable us to directly measure, at least to a certain degree, investor sentiment and determine its effect on future share prices.


01/07/2018 - 31/12/2019


Business School staff

Henry Leung
Academic profile