Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …

We review the literature on return and cash-flow growth predictability from the perspective of
the present-value identity. We focus predominantly on recent work. Our emphasis is on US …

We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive
ability for the equity premium fail to deliver consistent out-of-sample forecasting gains …

We evaluate predictive regressions that explicitly consider the time-variation of coefficients
in a comprehensive Bayesian framework. For monthly returns of the S&P 500 index, we …

Aggregate stock return volatility is both persistent and countercyclical. This paper tests
whether it is possible to improve volatility forecasts at monthly and quarterly horizons by …

By applying machine learning to the accurate and cost-effective classification of photos
based on sentiment, we introduce a daily market-level investor sentiment index (Photo …

In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted
on book-to-market, and on size, are predictable. While we discover that this predictability …

Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected
returns. We find that aggregate ICC strongly predicts future excess market returns at …

This paper provides an empirical evaluation of the US aggregate stock market predictability
based on a new technical analysis index that eliminates the idiosyncratic noise component …