Market response to investor sentiment : [version January 2011]
- 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
| Author: | Jördis HengelbrockGND, Erik TheissenORCiDGND, Christian Westheide |
|---|---|
| URN: | urn:nbn:de:hebis:30-91456 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,02 |
| Series (Serial Number): | CFS working paper series (2011, 02) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2011 |
| Year of first Publication: | 2011 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2011/02/14 |
| Tag: | Event Study; Investor Sentiment; Return Predictability |
| GND Keyword: | Deutschland; Investor; Aktienkurs; USA |
| Issue: | January 2011 |
| Page Number: | 29 |
| HeBIS-PPN: | 23304812X |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
