The Predictive Power of Investor Sentiment on US Equity Market Performance

Abstract

The purpose of this study is to determine which quantitative metrics are most representative of investor sentiment in the US equity markets. Sentiment is the aggregation of consumers', investors', and producers' thoughts and opinions about the future of the financial markets. By analyzing the change in popular economic indicators, financial market statistics, and sentiment reports, we can gain information on investor reactions. Furthermore, we will use machine learning techniques to develop predictive models that will attempt to forecast whether the stock market will go up or down based on the percent change in these indicators.

Citation

Steeves, M., Nguyen, S., Quinn, J. and Olinsky, A. (2021), "The Predictive Power of Investor Sentiment on US Equity Market Performance", Lawrence, K.D. and Klimberg, R.K. (Ed.) Advances in Business and Management Forecasting (Advances in Business and Management Forecasting, Vol. 14), Emerald Publishing Limited, Leeds, pp. 3-21. https://doi.org/10.1108/S1477-407020210000014001