Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/44962
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dc.contributor.authorHengelbrock, Jördisen_US
dc.contributor.authorTheissen, Eriken_US
dc.contributor.authorWestheide, Christianen_US
dc.date.accessioned2011-03-16en_US
dc.date.accessioned2011-04-15T09:46:18Z-
dc.date.available2011-04-15T09:46:18Z-
dc.date.issued2011en_US
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_US
dc.language.isoengen_US
dc.publisher|aCentre for Financial Research |cCologneen_US
dc.relation.ispartofseries|aCFR working paper |x11-01en_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.titleMarket response to investor sentimenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn654198551en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1101-

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