摘要：The investor sentiment is a concept key in behavioral finance, it has attracted the interest of many researchers during the last decade. The presents study develops a new measure of the investor sentiment which includes indirect indicators. Our main objective is to test the impact of investor sentiment on returns. Using a VAR model, we record strong negative relationship between investor sentiment and future returns. In addition, we find that past returns for tangible stocks, young, mature, not very and highly profitable, and with policy of distribution of dividend are not factors that explain the sentiment indicator.
关键词：investor sentiment; stock return; Market Timing; VAR Model
