Our paper tries to examine the relationship between investor sentiment and its effect on assets pricing. To this end, we proceeded in two ways. First, we conducted econometric tests to identify the investor sentiment measure that best reflects variations not explained by fundamentals. As part of this empirical study, we used two measures of investor sentiment based on sample surveys. The tests show that the investor sentiment index of SENTAAII is the most appropriate proxy that explains variations unexplained by fundamentals in the American market. Second, inspired by the work of DSSW (1990), we tested the impact of "noise trader" risk, both on excess returns and on their volatilities. To this end, we used a TGARCH-M model which, like Lee, Jiang and Indro (2004), to examine the relationship between market volatility, excess returns and investor sentiment. Our results on the American market show, first, that change in investor sentiment has a significant effect on excess returns. On the other hand, change in investor sentiment has a significant effect on the conditional volatility of the American stock market which causes an increase (decrease) in excess returns.