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- W3143749103 abstract "This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16 sentiment surveys of distinct respondent universes and employ the technique of principal components analysis to extract the common signals from the surveys. I show that the ability of different population groups to anticipate correctly economic growth and excess stock returns is not identical, implying that not all sentiment is the same, although there exist some common components. I demonstrate that sentiment surveys have significant predictive power for both GDP growth and excess stock returns, and that the results are robust to the inclusion of information pertaining to the macroeconomic environment and momentum. Furthermore, the findings reject the conventional wisdom that the effect of sentiment is apparent exclusively in small-capitalization stocks." @default.
- W3143749103 created "2021-04-13" @default.
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- W3143749103 date "2008-01-01" @default.
- W3143749103 modified "2023-09-27" @default.
- W3143749103 title "Using sentiment surveys to predict GDP growth and stock returns" @default.
- W3143749103 hasPublicationYear "2008" @default.
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