The impact of sentiment on price discovery
Journal
Accounting and Finance
ISSN
0810-5391
ISSN-Digital
1467-629X
Type
journal article
Date Issued
2016-03-06
Author(s)
Abstract
We study how investor sentiment affects the speed with which prices reflect information. Price discovery is more timely for firms with greater sensitivity to sentiment, as measured by a sentiment beta. Our research improves our understanding of the price formation process when sentiment is not assumed to be constant. Our research design is novel as it considers a sentiment beta as well as economy-wide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.
Language
English
Keywords
Price discovery
Sentiment
Timeliness
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley-Blackwell
Publisher place
Richmond, Vic.
Volume
56
Number
3
Start page
669
End page
694
Subject(s)
Eprints ID
240584