Investor sentiment and stock market returns: A comparative analysis of mood, word, and trade
研究了情绪、词汇和交易三类情绪指标对18个国际股票市场回报的预测能力，发现交易指标表现最强，词汇指标提供补充信息，情绪指标在短期和特定市场有效，没有单一指标普遍占优。
Abstract We examine and compare the return predictability of mood‐, word‐, and trade‐based sentiment measures across 18 international stock markets. Empirical results reveal that the trade‐based measure performs strongly across many settings; the word‐based measure contributes important complementary information, including in cases where the trade‐based measure is less informative; and the mood‐based measure provides useful signals at shorter horizons and in certain markets. Overall, no single measure dominates universally, and our findings highlight the significance of contextual factors such as test types, forecast horizons, and stock markets in determining the predictive efficacy of sentiment measures.