Investor Sentiment and Stock Market Response to Earnings News

被引：228
|
作者：
Mian, G. Mujtaba [1 ]
Sankaraguruswamy, Srinivasan [2 ]
机构：
[1] Hong Kong Polytech Univ, Hong Kong, Hong Kong, Peoples R China
[2] Natl Univ Singapore, Singapore, Singapore
来源：
ACCOUNTING REVIEW | 2012年 / 87卷 / 04期
关键词：
investor sentiment; corporate news; event studies; behavioral finance; BAD-NEWS; RETURNS; ANALYST; PROFITABILITY; EXPECTATIONS; PERFORMANCE; DISCLOSURE; PRICES; MATTER; MODEL;
D O I：
10.2308/accr-50158
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine whether market-wide investor sentiment influences the stock price sensitivity to firm-specific earnings news. Using the recently developed measure of investor sentiment by Baker and Wurgler (2006), we find that the stock price sensitivity to good earnings news is higher during high sentiment periods than during periods of low sentiment, whereas the stock price sensitivity to bad earnings news is higher during periods of low sentiment than during periods of high sentiment. This influence of sentiment is especially pronounced for the earnings news of small stocks, young stocks, high volatility stocks, non-dividend-paying stocks, and stocks with extremely high and low market-to-book ratios. Further analysis suggests that the sentiment-driven mispricing of earnings contributes to the general mispricing of stocks due to investor sentiment.
引用
收藏
页码：1357 / 1384
页数：28
相关论文
共 50 条
  • [1] Firm-specific investor sentiment and the stock market response to earnings news
    Seok, Sang Ik
    Cho, Hoon
    Ryu, Doojin
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 48 : 221 - 240
  • [2] Investor sentiment in the stock market
    Baker, Malcolm
    Wurgler, Jeffrey
    [J]. JOURNAL OF ECONOMIC PERSPECTIVES, 2007, 21 (02): : 129 - 151
  • [3] Stock prices, dividends, earnings, and investor sentiment
    Baek C.
    [J]. Review of Quantitative Finance and Accounting, 2016, 47 (4) : 1043 - 1061
  • [4] Effect of Investor Sentiment on Market Response to Stock Split Announcement*
    Kim, Keunsoo
    Byun, Jinho
    [J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2010, 39 (06) : 687 - 719
  • [5] The Impact of Investor Sentiment on Stock Market
    Fan, Yang Yu
    Hong, Liu De
    [J]. PROCEEDINGS OF THE 2017 3RD INTERNATIONAL CONFERENCE ON HUMANITIES AND SOCIAL SCIENCE RESEARCH (ICHSSR 2017), 2017, 121 : 506 - 509
  • [6] Investor Sentiment and Stock Market Liquidity
    Liu, Shuming
    [J]. JOURNAL OF BEHAVIORAL FINANCE, 2015, 16 (01) : 51 - 67
  • [7] Chasing investor sentiment in stock market
    Yang, Chunpeng
    Wu, Huihui
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 50
  • [8] Representativeness Heuristic, Investor Sentiment and Overreaction to Accounting Earnings: The Case of the Tunisian Stock Market
    Boussaidi, Ramzi
    [J]. WORLD CONGRESS ON ADMINISTRATIVE AND POLITICAL SCIENCES, 2013, 81 : 9 - 21
  • [9] Market Response to Investor Sentiment
    Hengelbrock, Joerdis
    Theissen, Erik
    Westheide, Christian
    [J]. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2013, 40 (7-8) : 901 - 917
  • [10] Investor Sentiment with Information Shock in the Stock Market
    Yang, Chunpeng
    Wu, Huihui
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2021, 57 (02) : 510 - 524
12345