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Sentiment-driven extreme price fluctuations and portfolio performance: Evidence via the joint Poisson mixed model
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DOI：10.1016/j.frl.2026.110583.png)
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Abstract
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• The joint Poisson mixed model captures correlated up/down price limit counts and quantifies cross-industry sentiment sensitivity. • Investor sentiment lowers A-share limit-up frequency while boosting limit-down occurrences. • Sentiment exerts a stronger impact on downside price limits, with distinct heterogeneous responses across industry sectors. • Sector random effects construct two portfolios for different risk preferences, lifting returns and lowering tail VaR risks amid market shocks.
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