What determines Manager and Investor Sentiment?

Richard Paul Gregory

Journal of Behavioral and Experimental Finance, 2021, vol. 30, issue C

Abstract: This work finds that Managerial and Investor Sentiment are determined by differing sets of economic variables, that share some common factors: inflation, liquidity and the term premium. Decomposing the Sentiment Indices, it is found that the Investor Sentiment Model Component and the Managerial Sentiment Residual Component are primarily responsible for the predictive power of predicting cross-sectional stock returns that is much stronger than previous results. Evidence is presented that part of the predictive power is due to the components predicting priced market factors. Overall, there is strong evidence that the predictive power of Managerial Sentiment is driven primarily by private information, while the predictive power of Investor Sentiment is driven by public information.

Keywords: Investor sentiment; Manager sentiment (search for similar items in EconPapers)
JEL-codes: G02 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000435

DOI: 10.1016/j.jbef.2021.100499

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