Measuring Investor Sentiment
By Guofu Zhou. Annual Review of Financial Economics, 2018
186 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/fa089facdf259d25467301a434fccf771c715c6e
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In Management Science and Operations Research
Citations in the corpus
- An empirical examination of investor sentiment and stock market volatility: evidence from India (2020, background): “According to Zhou (2018), investor sentiment indicates the distance of the asset’s value from its economic bases.”
- Investor Attention and Stock Returns (2020, unknown): “…outflow; media coverage (Barber and Odean (2008) and Fang and Peress (2009)); search traffic on the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system (Lee, Ma, and Wang (2015), Drake, Roulstone and Thornock (2015), 1See, for example, Zhou (2018), for a review of investor sentiment.”