Please use this identifier to cite or link to this item: https://doi.org/10.2308/accr-50158
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dc.titleInvestor sentiment and stock market response to earnings news
dc.contributor.authorMujtaba Mian, G.
dc.contributor.authorSankaraguruswamy, S.
dc.date.accessioned2013-10-09T02:33:50Z
dc.date.available2013-10-09T02:33:50Z
dc.date.issued2012
dc.identifier.citationMujtaba Mian, G., Sankaraguruswamy, S. (2012). Investor sentiment and stock market response to earnings news. Accounting Review 87 (4) : 1357-1384. ScholarBank@NUS Repository. https://doi.org/10.2308/accr-50158
dc.identifier.issn00014826
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/43792
dc.description.abstractWe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.2308/accr-50158
dc.sourceScopus
dc.subjectBehavioral finance
dc.subjectCorporate news
dc.subjectEvent studies
dc.subjectInvestor sentiment
dc.typeArticle
dc.contributor.departmentACCOUNTING
dc.description.doi10.2308/accr-50158
dc.description.sourcetitleAccounting Review
dc.description.volume87
dc.description.issue4
dc.description.page1357-1384
dc.identifier.isiut000306526600010
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