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dc.contributor.authorHengelbrock, Jördisen
dc.contributor.authorTheissen, Eriken
dc.contributor.authorWestheide, Christianen
dc.date.accessioned2012-04-20T17:09:19Z-
dc.date.available2012-04-20T17:09:19Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30-91456en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/02en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordInvestor Sentimenten
dc.subject.keywordEvent Studyen
dc.subject.keywordReturn Predictabilityen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwAnlageverhaltenen
dc.subject.stwMeinungen
dc.subject.stwDeutschlanden
dc.subject.stwUSAen
dc.titleMarket response to investor sentiment-
dc.typeWorking Paperen
dc.identifier.ppn64593920Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201102en

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