We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the negative pattern, investor sentiment has a more instant impact in emerging markets, but a more enduring impact in developed markets. Individual stock markets reveal heterogeneity in the sentiment-return relationship. This heterogeneity can be explained by cross-market differences in culture and institutions, along with intelligence and education, to varying degrees influenced by the extent of individual investor market participation.

我们评估了投资者情绪对全球 50 个股票市场未来股票回报的影响。使用消费者信心指数 (CCI) 作为情绪代理，我们记录了全球范围内投资者情绪与未来股票回报之间的负相关关系。虽然发达市场和新兴市场的分离并没有破坏负面格局，但投资者情绪对新兴市场的影响更为即时，而对发达市场的影响则更为持久。个股市场揭示了情绪回报关系的异质性。这种异质性可以通过文化和制度的跨市场差异以及智力和教育的差异来解释，在不同程度上受个人投资者市场参与程度的影响。