Abstract: Using anomaly techniques, this study examines the crucial role that sentiment in the market, news, and social media plays in forecasting stock returns. We used a simple regression model on a sample of public non-financial Pakistani stocks from 2009 to 2019. Our results show that, under anomalous strategies, the emerging companies are significantly impacted by sentiment in the market, news, and social media. Our results are in line with earlier research and refute a popular belief that has been contested in other studies, such as the notion that investor sentiment is less significant in emerging economies.

Keywords: Investor sentiment; Stock return; Anomaly strategy

JEL codes: G10, G14, G4

DOI: ...