Abstract
Based on the stock index of 20 internationally well-known petroleum companies from 27 February, 2001 to 3 July, 2018, we use the binomial probability distribution model to build a daily investor sentiment endurance index to explore the impact of investor sentiment on stock returns of petroleum companies. The results show that, first, the investor sentiment endurance index can effectively predict the stock returns of petroleum companies, and the predictive power will be weakened over time. Second, after considering the impact of macroeconomic environment, the sentiment effect remains significant across all the time horizons. Meanwhile, the sentiment effect appears more stronger in the period of economic expansion and in stock market downturns of oil and gas company.
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