 Firm-specific investor sentiment and daily stock returnsSang Ik Seok, Hoon Cho and Doojin Ryu The North American Journal of Economics and Finance, 2019, vol. 50, issue C Abstract: This study examines the relation between investor sentiment and asset returns in the Korean stock market, which is characterized by significant information asymmetry and a high degree of market sentiment. We also analyze the role of firm characteristics in the significance of the effect of sentiment on individual stock returns by conducting a sorted comparison, regression for portfolios constructed based on firm characteristics, and regression for long-short portfolios. Our empirical results indicate that sentiment is positively related to realized stock returns in the short term. This result contrasts with findings of a longer-term relation in developed markets. Furthermore, the positive relation between sentiment and realized returns is more prominent for firms that are harder to value (e.g., smaller firms, more volatile firms, firms with higher book-to-market ratios, unprofitable firms, more distressed firms, and firms with fewer trades by arbitrageurs). Keywords: Investor sentiment; Firm characteristics; Conditional stock returns; Arbitrageur; Mispricing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081830158x DOI: 10.1016/j.najef.2018.10.005 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.