S&P futures returns and contrary sentiment indicators

By David P. Simon, R. A. Wiggins. 2001

167 citations recorded by the source corpus.

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The importance of fear: investor sentiment and stock market returns (2017, unknown): “Whaley (2000), Simon and Wiggins (2001) and Giot (2005) use a VIX as a sentiment proxy and report both a large negative contemporaneous sentiment–return relationship, and that such measures are reliable contrarian indicators of market returns.”
High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks (2013, background): “The studies of Neal and Wheatley (1998), Simon and Wiggins (2001), and Wang (2001) prove that sentiment can determine returns.”
COVID-19: Structural Changes in the Relationship Between Investor Sentiment and Crude Oil Futures Price (2020, methodology): “The empirical results in Simon & Wiggins (2001), for instance, reveal that investor sentiment has both statistical and economic forecasting power when Standard & Poor’s 500 futures returns are modelled.”