Enhanced Investor Sentiment Index (STV)

  • Sze Nie Ung (Creator)
  • Bartosz Gebka (Creator)
  • Robert Anderson (Creator)

Dataset

Description

The Enhanced Investor Sentiment Index (STV) is an improved measure of investor sentiment, allowing contributions of each component of the index to vary over time instead of being fixed, as in the Baker and Wurgler (2006) investor sentiment index. STV has a better forecasting power and contains unique information about future market returns.
Date made available26 Mar 2025
PublisherUniversity of Manchester Figshare

Keywords

  • Investor sentiments
  • investor sentiment index
  • stock market returns
  • behavioural finance
  • Return prediction

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