In this paper, we make a doubt to the currently widely used sentiment index construction method proposed by Baker and Wurgler (2006). After analyzing its prerequisites, we put forward a new methodology for distinguishing between rational and irrational sentiment based on the idea of extracting...

This paper shows that the empirical distribution of cross-sectional analyst coverage in China’s stock market maintains an exponential pattern for each year and each month from 2011 to 2020. Moreover, the parameter λ of coverage distribution is directly related to market risk premium....