Investor sentiment and stock returns: Global evidence

Wenzhao Wang, Chen Su and Darren Duxbury

Journal of Empirical Finance, 2021, vol. 63, issue C, 365-391

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.

Keywords: Consumer confidence index (CCI); Culture; Education; Global; Intelligence; Investor sentiment (search for similar items in EconPapers)
JEL-codes: G10 G15 G28 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391

DOI: 10.1016/j.jempfin.2021.07.010

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