Individual Investors and Stock Returns
Abstract
This article explores the relationship between the S&P 500 Index and the AAII Investor Sentiment Survey, the latter of which is compiled by the American Association of Individual Investors. The empirical analysis utilizes common risk factors, economic sectors, time-varying regressions, and wavelet local multiple correlation methodology to provide a comprehensive examination from July 1987 to October 2025, with subperiod analyses. The main finding of the study shows that the sentiment index of individual investors is particularly valuable in conveying information during bearish financial market conditions and is subject to horizon effects.
Fields of Study & Subjects
Market Dynamics and Volatility
Financial Markets and Investment Strategies
Stock Market Forecasting Methods
Publication details
- Journal / source
- The Journal of Investing
- Volume
- 35
- Issue
- 5
- Pages
- 40–55
- Publication date
- 20 June 2026
- Language
- EN