Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence

► Examine nexus of local, global sentiments, and industry returns by panel threshold. ► Younger, speculative industry fits a linear local sentiment-returns model better. ► FIN, HEA and OIL profit when global sentiment is above threshold. ► Nonlinear and asymmetry of sentiments on industry returns should be considered. ► Nexus of industry returns and sentiments change in diverse sentimental intervals.