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Investor Sentiment and Stock Returns: Global Evidence

Lookup NU author(s): Dr Chen SuORCiD, Professor Darren DuxburyORCiD



This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).


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.

Publication metadata

Author(s): Wang W, Su C, Duxbury D

Publication type: Article

Publication status: Published

Journal: Journal of Empirical Finance

Year: 2021

Volume: 63

Pages: 365-391

Print publication date: 01/09/2021

Online publication date: 19/07/2021

Acceptance date: 13/07/2021

Date deposited: 08/06/2021

ISSN (print): 0927-5398

Publisher: Elsevier


DOI: 10.1016/j.jempfin.2021.07.010


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