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Measuring Investor Sentiment

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  • Guofu Zhou

    (Olin Business School, Washington University in St. Louis, St. Louis, Missouri 63130, USA)

Abstract

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.

Suggested Citation

  • Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
    • Handle: RePEc:anr:refeco:v:10:y:2018:p:239-259
    DOI: 10.1146/annurev-financial-110217-022725
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    More about this item

    Keywords

    sentiment; investor optimism; investor survey; textual analysis; technical analysis; predictability; behavioral finance;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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