What Determines Manager and Investor Sentiment?

33 Pages Posted: 22 May 2020

Date Written: April 27, 2020


I find 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, I find 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. I present evidence that part of the predictive power is due to the components predicting priced market factors.

Keywords: Investor sentiment; Manager sentiment

JEL Classification: G02

Suggested Citation

Gregory, Richard Paul, What Determines Manager and Investor Sentiment? (April 27, 2020). Available at SSRN: https://ssrn.com/abstract=3586532 or http://dx.doi.org/10.2139/ssrn.3586532

Richard Paul Gregory (Contact Author)

East Tennessee State University ( email )

Department of Economics and Finance
Johnson City, TN 37614
United States

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