Investor sentiment in the stock market
Open accessAbstract
Investor sentiment, defined broadly, is a belief about future cash flows and investment risks that is not justified by the facts at hand. The question is no longer whether investor sentiment affects stock prices, but how to measure investor sentiment and quantify its effects. One approach is “bottom up,” using biases in individual investor psychology, such as overconfidence, representativeness, and conservatism, to explain how individual investors underreact or overreact to past returns or fundamentals The investor sentiment approach that we develop in this paper is, by contrast, distinctly “top down” and macroeconomic: we take the origin of investor sentiment as exogenous and focus on its empirical effects. We show that it is quite possible to measure investor sentiment and that waves of sentiment have clearly discernible, important, and regular effects on individual firms and on the stock market as a whole. The top-down approach builds on the two broader and more irrefutable assumptions of behavioral finance—sentiment and the limits to arbitrage—to explain which stocks are likely to be most affected by sentiment. In particular, stocks that are difficult to arbitrage or to value are most affected by sentiment.
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Bouheni, F. B., Ammi, C., & Lévy, A. (2016) · doi:10.1002/9781119361480.biblio
Do COVID-19 Incidence and Government Intervention Influence Media Indices?
Buigut, S. K., & Kapar, B. (2022) · doi:10.47260/bae/925
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Zhang, K.-Z., Nor, N., & Selamat, A. (2023) · International Journal of Applied Economics, Finance and Accounting · doi:10.33094/ijaefa.v17i2.1232
Stock Analysis of Apple, Google, and Meta Using Time-Series
Cao, X. (2023) · Advances in Economics Management and Political Sciences · doi:10.54254/2754-1169/46/20230336
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Kamışlı, M. (2024) · Özgür Yayınları eBooks · doi:10.58830/ozgur.pub604.c2769
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Shi, H. (2025) · International Conference on Economic Data Analytics and Artificial Intelligence (EDAAI) · doi:10.1145/3789297.3789327
The asymmetric effect of media sentiment on aggregate market and firm-level activity
Dong, Y., & Muhammad, A. U. R. (2026) · Cogent Economics & Finance · doi:10.1080/23322039.2026.2725312
- Authors
- Baker, M., & Wurgler, J.
- Affiliations
- National Bureau of Economic Research (US)
- ORCID
- Wurgler, Jeffrey
- Venue
- Journal of Economic Perspectives
- Publisher
- American Economic Association
- Published
- 2007-04-01
- Volume
- 21
- Issue
- 2
- Pages
- 129-151
- ISSN
- 0895-3309 (ISSN-L)
- OpenAlex
- W3123466764
- Cited by
- 94
- References
- 34
- Citations by year
- 2026: 2 · 2025: 4 · 2024: 8 · 2023: 2 · 2022: 7 · 2021: 8 · 2020: 2 · 2019: 6 · 2018: 9 · 2017: 5 · 2016: 11 · 2015: 6 · 2014: 8 · 2013: 5 · 2012: 3
- FWCI
- 2.33
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- The Journal of Economic Perspectives (publishedVersion)
- National Bureau of Economic Research (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Harvard Business School
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Keywords
- investor sentiment, stock prices, behavioral finance, limits to arbitrage, overconfidence, representativeness bias, conservatism bias, sentiment measurement, stock valuation
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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