Market response to investor sentiment

Arbeitspapier

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price reaction to the publication of sentiment indicators. We find that the sign of the immediate price reaction is the same as that of the predictability at intermediate time horizons. This is consistent with sentiment being related to mispricing but is inconsistent with the alternative explanation that sentiment indicators provide information about future expected returns.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFS Working Paper ; No. 2011/02

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: Investor Sentiment ; Event Study ; Return Predictability ; Börsenkurs ; Kapitalertrag ; Prognoseverfahren ; Anlageverhalten ; Meinung ; Deutschland ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hengelbrock, Jördis ; Theissen, Erik ; Westheide, Christian
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (wo): Frankfurt a. M.
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/57359
• URN: urn:nbn:de:hebis:30-91456
• Letzte Aktualisierung: 20.09.2024, 08:25 MESZ