Journal Article
Using Sentiment and Momentum to Predict Stock Returns
Abstract: Studies that seek to forecast stock price movements often consider measures of market sentiment or stock return momentum as predictors. Recent research shows that a multiplicative combination of sentiment and momentum can help predict the return on the Standard & Poor?s 500 stock index over the next month. This predictive power derives mainly from periods when sentiment has been declining over the past year and recent return momentum is negative?periods that coincide with an increase in investor attention to the stock market as measured by a Google search volume index.
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Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2018
Order Number: 29