Measuring Investor Sentiment

Annual Review of Financial Economics, Forthcoming

37 Pages Posted: 11 Oct 2017 Last revised: 17 Dec 2017

See all articles by Guofu Zhou

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School

Multiple version iconThere are 2 versions of this paper

Date Written: December 16, 2017


Investor sentiment indicates how far an asset value deviates from its economic fundamentals. In this paper, we review various measures of investor sentiment based on market, survey, and text and media data, respectively. There is ample evidence that sentiment can explain returns on stocks that are difficult to value and costly to arbitrage, such as unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks. However, much remains to be done. We discuss three issues for future research: to aggregate measures over various sources and various time horizons, to link investor sentiment to technical analysis, and to model statistically the evolution of investor sentiment.

Keywords: sentiment, investor optimism, investor survey, textual analysis, technical analysis, predictability, behavioral finance

JEL Classification: C58, G12, G14

Suggested Citation

Zhou, Guofu, Measuring Investor Sentiment (December 16, 2017). Annual Review of Financial Economics, Forthcoming, Available at SSRN: or

Guofu Zhou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)


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