Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57359
Authors: 
Hengelbrock, Jördis
Theissen, Erik
Westheide, Christian
Year of Publication: 
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: 
Document Type: 
Working Paper

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