Review2018

Measuring Investor Sentiment

210 citations0/0 files storedAnnual Review of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

Investor sentiment indicates how far an asset value deviates from its economic fundamentals. In this article, we review various measures of investor sentiment based on market, survey, and text and media data. There is ample evidence that sentiment can explain returns on stocks that are difficult to value and costly to arbitrage, such as unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks. However, much remains to be done. We discuss three issues for future research: aggregating measures over various sources and various time horizons, linking investor sentiment to technical analysis, and statistically modeling the evolution of investor sentiment.

Citations in this library

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References

1936The General Theory of Employment, Interest and Money.2014A five-factor asset pricing model 1990Noise Trader Risk in Financial Markets 2006Investor Sentiment and the Cross‐Section of Stock Returns 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks 2001The theory and practice of corporate finance: evidence from the field 1995The Limits of Arbitrage 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market

Cited by

2023ESG rating disagreement and stock returns: Evidence from China 2020An empirical examination of investor sentiment and stock market volatility: evidence from India 2022Investor sentiment and stock volatility: New evidence 2021Expected return, volume, and mispricing 2022Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases 2019Stock returns and investor sentiment: textual analysis and social media

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