Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 6, 2001 erstellt
Description:
We investigate investor sentiment and its relation to near-term stock market returns. We find that many commonly-cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment. However, past market returns are also an important determinant of sentiment. Although sentiment changes are strongly correlated with contemporaneous market returns, our tests show that sentiment has little predictive power for near- term future stock returns. Finally, our evidence does not support the conventional wisdom that sentiment primarily affects individual investors and small stocks