TY  - RPRT
A1  - Hengelbrock, Jördis
A1  - Theissen, Erik
A1  - Westheide, Christian
T1  - Market response to investor sentiment : [This version May 3, 2010]
N2  - Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and thus trigger an immediate market response to their publication. The present paper is the first to empirically analyze whether an immediate response can be identified from the data. We use survey-based sentiment indicators from two countries (Germany and the US). Consistent with previous research we find there is predictability at intermediate time horizons. For the US, however, the predictability all but disappears after 1994. Using event study methodology we find that the publication of sentiment indicators affects market returns. The sign of the immediate response is the same as that of the predictability over the intermediate term. This finding is consistent with the idea that sentiment is related to mispricing, but is inconsistent with the idea that the sentiment indicator provides information about future expected returns.
KW  - Investor Sentiment
KW  - Event Study
KW  - Return Predictability
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35666
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-356660
UR  - http://ssrn.com/abstract=1343798
IS  - version: May 3, 2010
ER  -