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...

We build an original market sentiment index based solely on changes over time in the number of different stocks held by individual investors. No prices, returns or trading volumes enter the definition. As a consequence, our index is not contaminated by liquidity concerns present in measures...

Mispricing (the difference between prices and their underlying fundamental values) is an important characteristic of markets. The literature on the topic consists of many different measures. This state of affairs is unsatisfactory, since it is not clear to which extent results are sensitive to...

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration....

This paper proposes a new metric to gauge investor sentiment using a relative valuation method. We combine investor behavioral finance traits and option-implied standard deviations under both the real-world probability (P) valued most in the view of uninformed investors and the risk-neutral...

This research represents the union of two main studies: the first one focused on the analysis of the CAPE Ratio, also known as the Cyclically Adjusted Price-Earnings ratio, a valuation measure introduced by the Nobel Prize Robert Shiller, and the second one focused on the predictability of the...

Given the increasing interest in and the growing number of publicly available methods to estimate investor sentiment from social media platforms, researchers and practitioners alike are facing one crucial question - which is best to gauge investor sentiment? We compare the performance of daily...

When stress tests for the banking sector use a macroeconomic scenario, an unstated premise is that macro variables should be useful factors in forecasting the performance of banks. We assess whether variables such as the ones included in stress tests for U.S. bank holding companies help improve...

Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods of non-trivial duration, for which stock returns are highly positively autocorrelated. Such episodes include, but are not limited to, gradual jumps and...