Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
研究发现投资者情绪高低会改变基本面和非基本面预测变量的预测能力，低情绪时基本面变量有效，高情绪时非基本面变量有效，这有助于理解预测能力缺失的争论。
This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based nonfundamental) predictors and market returns. We find that although fundamental variables can be strong predictors when sentiment is low, they tend to lose their predictive power when investor sentiment is high. Nonfundamental predictors perform well during high-sentiment periods while their predictive ability deteriorates when investor sentiment is low. These paradigm shifts in equity return forecasting provide a key to understanding and resolving the lack of predictive power for both fundamental and nonfundamental variables debated in recent studies. This paper was accepted by David Simchi-Levi, finance.