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This paper investigates whether measures of investor sentiment can be used to predict future total returns of the S&P 500 index. Rolling regressions and other statistical techniques are used to

This paper investigates whether measures of investor sentiment can be used to predict future total returns of the S&P 500 index. Rolling regressions and other statistical techniques are used to determine which indicators contain the most predictive information and which time horizons' returns are "easiest" to predict in a three year data set.

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