Investor sentiment and stock returns: Global evidence |
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| Institution: | 1. School of Economics and Management, Southwest Jiaotong University, Chengdu, Sichuan Province, 610031, PR China;2. Civil Aviation Flight University of China, Guanghan, Sichuan Province, 618307, PR China;3. Oklahoma State University, Stillwater, Oklahoma, USA;1. Lord Ashcroft International Business School, Anglia Ruskin University, Lord Ashcroft Building, East Road, Cambridge, CB1 1PT, United Kingdom;2. School of Business and Economics, Loughborough University, Loughborough, Leicestershire, LE11 3TU, United Kingdom;1. School of Economics and Finance, Huaqiao University, Quanzhou, FuJian, 362021, China;2. School of Accounting and Finance, Zhongnan University of Economics and Law, Wuhan, Hubei, 430073, China |
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| Abstract: | We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the negative pattern, investor sentiment has a more instant impact in emerging markets, but a more enduring impact in developed markets. Individual stock markets reveal heterogeneity in the sentiment-return relationship. This heterogeneity can be explained by cross-market differences in culture and institutions, along with intelligence and education, to varying degrees influenced by the extent of individual investor market participation. |
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| Keywords: | Consumer confidence index (CCI) Culture Education Global Intelligence Investor sentiment |
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