  This paper aims to test the relationship between investor sentiment and the
profitability of stocks listed on two emergent financial markets, the Moroccan
and Tunisian ones. Two indirect measures of investor sentiment are used, SENT
and ARMS. These sentiment indicators show that there is an important
relationship between the stocks returns and investor sentiment. Indeed, the
results of modeling investor sentiment by past observations show that sentiment
has weak memory; on the other hand, series of changes in sentiment have
significant memory. The results of the Granger causality test between stock
return and investor sentiment show us that profitability causes investor
sentiment and not the other way around for the two financial markets
studied.Thanks to four autoregressive relationships estimated between investor
sentiment, change in sentiment, stock return and change in stock return, we
find firstly that the returns predict the changes in sentiments which confirms
with our hypothesis and secondly, the variation in profitability negatively
affects investor sentiment.We conclude that whatever sentiment measure is used
there is a positive and significant relationship between investor sentiment and
profitability, but sentiment cannot be predicted from our various variables.
