投資者心理是否能解釋股價一直是財務學中一個令人感興趣的主題。這篇研究為檢驗密西根大學消費者情緒指數對市場和產業組合的報酬預測能力，我們分別對1979-2000年間的月報酬和1955-2000年間的年報酬進行檢驗。消費者看法在年和月的檢定基礎下，皆可預期大部分的產業股價報酬率。此外，受消費者看法影響的產業在經濟景氣上升和衰退時略有不同。我們發現消費者情緒指數的改變在經濟景氣衰退時比經濟景氣上升時預測能力更強。 Whether investor sentiment has any bearing on asset returns has long been a topic of interest in finance. This paper studies the relationship between changes in sentiment as measured by changes in the University of Michigan consumer sentiment index on stock market and different industry portfolios returns at one-month and one-year horizons over 1979-2000 and 1955-2000 period, respectively. We find that change in consumer sentiment reliably predict most industries both on monthly and yearly basis. In addition, the effect of consumer sentiment on industries differs between economic expansion and recession period. We find that the change of the consumer sentiment index has better predictability in the economic recession than in the economic expansion.
