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Review of Quantitative Finance and Accounting
Erschienen in: Review of Quantitative Finance and Accounting 4/2016

01.11.2016 | Original Research

Stock prices, dividends, earnings, and investor sentiment

verfasst von: Chung Baek

Erschienen in: Review of Quantitative Finance and Accounting | Ausgabe 4/2016

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Abstract

We investigate the relationship between fundamental market variables and investor sentiment. Our study focuses on empirical aspects that have not been explored by previous studies. We find that sentiment is co-integrated with earnings and sentiment changes cause earnings changes. Under extreme market events, however, sentiment changes tend to move more closely together with stock returns. We also find that the predictive power of sentiment changes increases with subsequent medium-term earnings changes and sentiment changes are asymmetrically more sensitive to high earnings. Our study provides a new insight to stock market participants.
Vorheriger Artikel Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data
Nächster Artikel Corporate patents, R&D success, and tax avoidance

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Metadaten
Titel
Stock prices, dividends, earnings, and investor sentiment
verfasst von
Chung Baek
Publikationsdatum
01.11.2016
Verlag
Springer US
Erschienen in
Review of Quantitative Finance and Accounting / Ausgabe 4/2016
Print ISSN: 0924-865X
Elektronische ISSN: 1573-7179
DOI
https://doi.org/10.1007/s11156-015-0530-4

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