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Over the past decade, sentiment analysis has evolved significantly, growing in relevance and application, especially in the financial sector. However, empirical research comparing different sentiment measurement approaches, particularly survey- and research-based proxies, remains limited. Our approach introduces a new method, the " market briefing survey ", to generate a weekly index of investor sentiment (2018–2022), revealing that it is a contrarian indicator: when the market shows a bullish attitude, it suggests bearish behavior, and vice versa, in the presence of a bearish attitude. This finding is in line with the existing literature, also demonstrating that our indicator is statistically superior to Google Trends, one of the main model-based forecasts. Our findings are relevant for both academics and practitioners, including portfolio managers, financial analysts, and finance professionals, who wish to examine the impact of investor sentiment on stock market volatility and select the most effective approach to measuring sentiment.
Trotta et al. (Wed,) studied this question.