Investor Sentiment and Stock Market Response to Earnings Announcement
This paper explores the relation between investor sentiment and stock price response to earnings news in China mainland stock market employing the method of event study. The evidence demonstrates that stock price response to earnings news with the prevailing sentiment, that is, investor sentiment is systematically related to the market response to corporate earnings announcement news. The empirical result also shows stock market respond to corporate earnings announcement news asymmetrically when sentiment is pessimistic. The findings not only help us understand the rationality of stock market response to news, but also show that stock market misreaction to news could be an important channel for the sentiment-drive mispricing of stocks.
Jiang Yumei
Institute of Finance Shandong Economic University Jinan, China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-4
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）