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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hengelbrock, Jördis | | en_US |
| dc.contributor.author | | Theissen, Erik | | en_US |
| dc.contributor.author | | Westheide, Christian | | en_US |
| dc.date.accessioned | | 2012-04-20T17:09:19Z | | - |
| dc.date.available | | 2012-04-20T17:09:19Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.pi | | urn:nbn:de:hebis:30-91456 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/57359 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Financial Studies Frankfurt, Main | | en_US |
| dc.relation.ispartofseries | | CFS Working Paper 2011/02 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Investor Sentiment | | en_US |
| dc.subject.keyword | | Event Study | | en_US |
| dc.subject.keyword | | Return Predictability | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Anlageverhalten | | en_US |
| dc.subject.stw | | Meinung | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | Market response to investor sentiment | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 64593920X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:cfswop:201102 | | - |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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