Investor Sentiment and Stock Market Response to Corporate News
We test the hypothesis that the prevailing market-wide investor sentiment sways the stock market response to good and bad corporate news in the direction of the sentiment. We use the Baker and Wurgler (2006) index of investor sentiment, and investigate stock price response to earnings shocks. Consistent with our hypothesis, we find that the three-day announcement period return for positive (negative) earnings news is greater for the earnings that are announced during high (low) sentiment periods than those announced during low (high) sentiment periods. Furthermore, the effect of sentiment persists in the near term. Over the 60 days following the announcement of earnings, the well-documented stock price drift associated with positive (negative) earnings news is greater for the earnings that are announced during high (low) sentiment periods than those that are announced during low (high) sentiment periods. In the cross-section, the relation between sentiment and the stock price response to news is more pronounced for small stocks, young stocks, volatile stocks, non-dividend paying stocks and distressed stocks.
Investor Sentiment Corporate News Event Studies Behavioral Finance
G. Mujtaba Mian Srinivasan Sankaraguruswamy
The NUS Business School National University of Singapore Singapore
国际会议
大连
英文
1-35
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）