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Harri Pönkä
 
''Sentiment and sign predictability of stock returns''
( 2018, Vol. 38 No.3 )
 
 
We explore the relationship between investor, consumer, and business sentiment and the direction of excess stock market returns in the US. Our findings indicate that measures of investor sentiment are useful predictors, even after controlling for the predictive ability of commonly used predictors of stock returns and for the effects of recession. Measures of consumer and business sentiment do not hold similar predictive ability. The findings hold both in- and out-of-sample.
 
 
Keywords: Equity return, Probit model, Sentiment variable, Sign predictability
JEL: C2 - Single Equation Models; Single Variables: General
G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Dec 01 2017 Manuscript Accepted : Sep 07 2018

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