Reviewing 71 published studies, this paper finds sentiment is significant in most models, yet complex sentiment measures do not clearly beat simpler ones, and the BW index appears to be losing explanatory power.
II sentiment index Medium complex Positive No for Bull market
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Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
Reviewing 71 published studies, this paper finds sentiment is significant in most models, yet complex sentiment measures do not clearly beat simpler ones, and the BW index appears to be losing explanatory power.