Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/44962 
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dc.contributor.authorHengelbrock, Jördisen
dc.contributor.authorTheissen, Eriken
dc.contributor.authorWestheide, Christianen
dc.date.accessioned2011-03-16-
dc.date.accessioned2011-04-15T09:46:18Z-
dc.date.available2011-04-15T09:46:18Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/44962-
dc.description.abstractRecent 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 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.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x11-01en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordInvestor Sentimenten
dc.subject.keywordEvent Studyen
dc.subject.keywordReturn Predictabilityen
dc.titleMarket response to investor sentiment-
dc.typeWorking Paperen
dc.identifier.ppn654198551en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:1101en

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