Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

• 成果类型: Article
• 署名作者: Huang, Dashan; Jiang, Fuwei; Tu, Jun; Zhou, Guofu
• 署名单位: Singapore Management University; Central University of Finance & Economics; Washington University (WUSTL)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu080
• 发表日期: 2015
• 页码: 791
• 关键词: BOOK-TO-MARKET; consumer confidence; excess volatility; Expected returns; equity premium; asset returns; cross-section; Cash flows; predictability; tests

摘要

We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices have both in and out of sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms well-recognized macroeconomic variables and can also predict cross-sectional stock returns sorted by industry, size, value, and momentum. The driving force of the predictive power appears to stem from investors' biased beliefs about future cash flows.