Macroeconomics

Consumer confidence index

Engineering

Stock (firearms)

Biology

Stock market

Economics

Computer science

Business

Paleontology

Mechanical engineering

Market sentiment

Emerging markets

Monetary economics

Horse

Financial economics

Proxy (statistics)

Finance

Machine learning

Journal of Empirical Finance

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.

Investor sentiment and stock returns: Global evidence