Title
What determines Manager and Investor Sentiment?
Document Type
Article
Publication Date
6-1-2021
Description
This work finds that Managerial and Investor Sentiment are determined by differing sets of economic variables, that share some common factors: inflation, liquidity and the term premium. Decomposing the Sentiment Indices, it is found that the Investor Sentiment Model Component and the Managerial Sentiment Residual Component are primarily responsible for the predictive power of predicting cross-sectional stock returns that is much stronger than previous results. Evidence is presented that part of the predictive power is due to the components predicting priced market factors. Overall, there is strong evidence that the predictive power of Managerial Sentiment is driven primarily by private information, while the predictive power of Investor Sentiment is driven by public information.
Citation Information
Gregory, Richard Paul. 2021. What determines Manager and Investor Sentiment?. Journal of Behavioral and Experimental Finance. Vol.30 https://doi.org/10.1016/j.jbef.2021.100499 ISSN: 2214-6350