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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHengelbrock, Jördisen_US
dc.contributor.authorTheissen, Eriken_US
dc.contributor.authorWestheide, Christianen_US
dc.date.accessioned2012-04-20T17:09:19Z-
dc.date.available2012-04-20T17:09:19Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:hebis:30-91456en_US
dc.identifier.urihttp://hdl.handle.net/10419/57359-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2011/02en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordInvestor Sentimenten_US
dc.subject.keywordEvent Studyen_US
dc.subject.keywordReturn Predictabilityen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwMeinungen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwUSAen_US
dc.titleMarket response to investor sentimenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn64593920Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201102-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
64593920X.pdf439.32 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.