Arbeitspapier
Market response to investor sentiment
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2011/02
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
Investor Sentiment
Event Study
Return Predictability
Börsenkurs
Kapitalertrag
Prognoseverfahren
Anlageverhalten
Meinung
Deutschland
USA
- Event
-
Geistige Schöpfung
- (who)
-
Hengelbrock, Jördis
Theissen, Erik
Westheide, Christian
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2011
- Handle
- URN
-
urn:nbn:de:hebis:30-91456
- Last update
-
20.09.3023, 8:25 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hengelbrock, Jördis
- Theissen, Erik
- Westheide, Christian
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2011
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