Firm-specific investor sentiment and daily stock returns

Cited 20 time in webofscience Cited 0 time in scopus
  • Hit : 191
  • Download : 0
This study examines the relation between investor sentiment and asset returns in the Korean stock market, which is characterized by significant information asymmetry and a high degree of market sentiment. We also analyze the role of firm characteristics in the significance of the effect of sentiment on individual stock returns by conducting a sorted comparison, regression for portfolios constructed based on firm characteristics, and regression for long-short portfolios. Our empirical results indicate that sentiment is positively related to realized stock returns in the short term. This result contrasts with findings of a longer-term relation in developed markets. Furthermore, the positive relation between sentiment and realized returns is more prominent for firms that are harder to value (e.g., smaller firms, more volatile firms, firms with higher book-tomarket ratios, unprofitable firms, more distressed firms, and firms with fewer trades by arbitrageurs).
Publisher
ELSEVIER SCIENCE INC
Issue Date
2019-11
Language
English
Article Type
Article
Citation

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.50

ISSN
1062-9408
DOI
10.1016/j.najef.2018.10.005
URI
http://hdl.handle.net/10203/271164
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 20 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0