- 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
- Reviewed
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