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Investor Sentiment And Stock Market Response To Earnings News Pdf

investor sentiment and stock market response to earnings news pdf

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Investor sentiment and the stock market’s reaction to monetary policy

Media sentiment has been shown to be related to stock returns. However, one prerequisite for this influence has not been taken into account yet: the question of whether investors actually pay attention to news and the related financial instruments. Within this study, we close this research gap by examining the interplay between media sentiment and investor attention. Thereby, we find that the positive impact of media sentiment on returns is increased when investor attention is high. Furthermore, we evaluate whether these variables can be used to forecast future market movements. Although our results reveal that the obtained forecasting accuracy cannot be achieved by chance, we conclude that further information has to be included in the forecasting model to obtain satisfying results. Unable to display preview.

Skip to Main Content. A not-for-profit organization, IEEE is the world's largest technical professional organization dedicated to advancing technology for the benefit of humanity. Use of this web site signifies your agreement to the terms and conditions. Investor Sentiment and Stock Market Response to Earnings Announcement Abstract: 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.

Investor Sentiment and Stock Market Response to Corporate News

Citation: Feng Junwen? Li Xinxin. Investor sentiment and stock return: evidence from Chinese stock market. Biotechnol Ind J. This paper selects the trading volume data from January to December to study investor sentiment and regard the market daily earnings ratio of Shanghai Stock Exchange A-shares index as stock return. Using ARMA model to research its own characteristics of investor sentiment, then use VAR model and Granger causality test, impulse response function and variance decomposition to research the relationship between investor sentiment and the market returns, thereafter empirical results show that two series have Granger causal relationship exist between each other.

The Accounting Review 1 July ; 87 4 : — 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 , 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.

Items in Shodhganga are protected by copyright, with all rights reserved, unless otherwise indicated. Shodhganga Mirror Site. Show full item record. Earlier, the financial news were restricted to the print media only but now trend has changed. The electronic media have increased the coverage of financial news. It becomes very complex for the investors to take investment decision because of huge flow of information. In this scenario, it becomes essential to learn the impact of financial news in particular company specific news on the stock prices.


PDF | We examine whether market-wide investor sentiment influences the stock price sensitivity to firm-specific earnings news. Using the.


Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence

More critically, the positive negative impact of global sentiment above under the threshold turns significant, indicating that global optimism leads industry returns to be overvalued, while pessimism leads them to be undervalued. For local market sentiment, our results support that higher local sentiment enhances the returns of basic materials, telecommunications, and utilities industries. The empirical results confirm that the nexus of industry returns and investor sentiments is subject to change between different sentimental intervals. A growing body of research argues that investor sentiment affects stock returns. For instance, the literature addresses initial public offerings Bradley et al.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated. ScholarBank NUS 1. Staff Staff Publications. Sankaraguruswamy, S.

Investigating the Impact of Media Sentiment and Investor Attention on Financial Markets

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: We examine whether market-wide investor sentiment influences the stock price response to firm-specific news. We use the recently developed measure of investor sentiment by Baker and Wurgler , and focus on the stock price response to earnings announcements. View on SSRN. Save to Library.

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Request PDF | Investor Sentiment and Stock Market Response to Corporate Asymmetric Responses to Earnings News: A Case for Ambiguity.


Highlights

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  1. Dalmazio B.

    23.04.2021 at 21:52
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