TY  - UNPD
A1  - Hengelbrock, Jördis
A1  - Theissen, Erik
A1  - Westheide, Christian
T1  - Market response to investor sentiment
N2  - 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. JEL Classification: G12, G14 Keywords: Investor Sentiment , Event Study , Return Predictability
T3  - CFS working paper series - 2011, 02 
KW  - Investor Sentiment 
KW  - Event Study 
KW  - Return Predictability
Y1  - 2011
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/20886
UR  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30-91456
ER  -