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Firm-specific investor sentiment and stock price informativeness

Binsheng Qian and Yusen Tan

Finance Research Letters, 2024, vol. 66, issue C

Abstract: This paper investigates the influence of firm-specific investor sentiment on stock price informativeness in China. Using a composite firm-specific investor sentiment index, we find that sentiment positively influences stock price synchronicity and future price crash risk for opaque stocks. We use firm-specific investor sentiment proxy to develop a market sentiment proxy, which could predict aggregate price synchronicity beyond extant market sentiment indicators. Our results suggest that the composite sentiment index is a reliable proxy and investor sentiment negatively affects price informativeness.

Keywords: Firm-specific investor sentiment; Stock price synchronicity; Stock price crash risk; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007104

DOI: 10.1016/j.frl.2024.105680

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