Market Sentiment,Investor Size and Reaction to Firm-Specific News
We examine how prevailing market-wide sentiment influences the response of small and large investors to firm-specific news. In the context of the announcements of changes in analyst recommendations,we document that small investors order flow (I.e.,net buying) is positively related to the bullishness of the market sentiment. This is especially true for bad news. Moreover,the relation between sentiment and small trader response to bad news is stronger for firms that prior literature documents to be more prone to sentiment-small firms,young firms,growth firms,and volatile firms. In contrast,sentiment hardly sways large traders response to firm news. In fact,we find evidence that large traders exploit the opportunities that arise due to the influence of sentiment on small traders,and take the opposite side of the trade.
Investor Sentiment Analyst Recommendations Trading Small investors
Wen He G.Mujtaba Mian Srinivasan Sankaraguruswamy
NUS Business School
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）