Abstract:

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 of the very tangible stocks. In addition, we find that past returns for tangible stocks, young, mature, not very and highly profitable, are not factors that explain the sentiment indicator.