Firm-level investor sentiment and corporate announcement returns

Title: Firm-level investor sentiment and corporate announcement returns
Creator: Mahmoudi, Nader; Docherty, Paul; Melia, Adrian
Relation: Journal of Banking & Finance Vol. 144, Issue November 2022, no. 106586
Publisher Link: http://dx.doi.org/10.1016/j.jbankfin.2022.106586
Publisher: Elsevier
Resource Type: journal article
Date: 2022
Description: Behavioural models of investor behaviour propose that sentiment affects investors’ responses to corporate announcements. As beliefs can be cross-sectionally heterogeneous, firm-specific investor sentiment may differ from aggregate levels of investor sentiment. We provide empirical evidence about the explanatory power of both firm- and market-level investor sentiment for corporate announcement returns. We demonstrate empirically that firm-level investor sentiment has marginal explanatory power beyond market-level investor sentiment for corporate announcement returns, turnover and long-run reversals. Previous studies, which focus on market-level investor sentiment measures are likely to have under-stated the economic magnitude of the role that sentiment plays in corporate announcement returns.
Subject: firm-level investor sentiment; market-level investor sentiment; announcement returns; turnover; return reversals; corporate announcements
Identifier: http://hdl.handle.net/1959.13/1477491
Identifier: uon:49991
Identifier: ISSN:0378-4266
Language: eng
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