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Investor Sentiment and Stock Returns: Global Evidence
Wang, Wenzhao Su, C. Duxberry, D.
Wang, Wenzhao
Su, C.
Duxberry, D.
Publication Date
2021-09
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© 2021 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
13/07/2021
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Abstract
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the negative pattern, investor sentiment has a more instant impact in emerging markets, but a more enduring impact in developed markets. Individual stock markets reveal heterogeneity in the sentiment-return relationship. This heterogeneity can be explained by cross-market differences in culture and institutions, along with intelligence and education, to varying degrees influenced by the extent of individual investor market participation.
Version
Accepted manuscript
Citation
Wang W, Su C and Duxberry D (2021) Investor Sentiment and Stock Returns: Global Evidence. Journal of Empirical Finance. 63: 365-391.
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Article