IDEAS home Printed from https://ideas.repec.org/a/ids/ijmefi/v16y2023i5p309-333.html
   My bibliography  Save this article

The relationship between investor sentiment and stock returns: the case of the S%P 500 companies

Author

Listed:
  • Rawya Ben Youssef
  • Fathi Jouini

Abstract

This paper investigates the association between stock returns and firm-specific investor sentiment in US stock market, including 265 firms belonging to the S%P 500 Index on daily data from 2010 to 2018, by using five-factor model and four sentiment indicators. The study allows to analyst to predict stock price movements and to decide on the market position and to identify the behaviour and expectations of speculative traders and/or noisemakers who invest based on their own emotions and feelings. The composite sentiment index allows for a more in-depth and multiple approaches to determining investor sentiment than a single indicator. This research shows that the risk factor, and profitability factor played an important role in assessing expected stock returns. The empirical results suggest that there is a negative relationship between sentiment and stock market performance. However, we also find a positive association between sentiment and short-run stock returns.

Suggested Citation

  • Rawya Ben Youssef & Fathi Jouini, 2023. "The relationship between investor sentiment and stock returns: the case of the S%P 500 companies," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 16(5), pages 309-333.
    • Handle: RePEc:ids:ijmefi:v:16:y:2023:i:5:p:309-333
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=135666
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmefi:v:16:y:2023:i:5:p:309-333. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=218 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.