|
EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/57359
|
| | |
| Title: | | Market response to investor sentiment  |
| Authors: | | Hengelbrock, Jördis Theissen, Erik Westheide, Christian |
| Issue Date: | | 2011 |
| Series/Report no.: | | CFS Working Paper 2011/02 |
| Abstract: | | 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. |
| Subjects: | | Investor Sentiment Event Study Return Predictability |
| JEL: | | G12 G14 |
| Persistent Identifier of the first edition: | | urn:nbn:de:hebis:30-91456 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/57359
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|