This work finds that Managerial and Investor Sentiment are determined by differing sets of economic variables, that share some common factors: inflation, liquidity and the term premium. Decomposing the Sentiment Indices, it is found that the Investor Sentiment Model Component and the Managerial Sentiment Residual Component are primarily responsible for the predictive power of predicting cross-sectional stock returns that is much stronger than previous results. Evidence is presented that part of the predictive power is due to the components predicting priced market factors. Overall, there is strong evidence that the predictive power of Managerial Sentiment is driven primarily by private information, while the predictive power of Investor Sentiment is driven by public information.

这项工作发现，管理和投资者情绪是由不同的经济变量集决定的，这些变量具有一些共同的因素：通货膨胀，流动性和期限溢价。分解情绪指数，可以发现投资者情绪模型成分和管理情绪残留量成分主要负责预测横截面股票收益的预测能力，该能力比以前的结果要强得多。有证据表明，部分预测能力是由于预测价格市场因素的要素所致。总体而言，有充分的证据表明，管理情绪的预测能力主要由私人信息驱动，而投资者情绪的预测能力则由公共信息驱动。