 Stock Market’s responses to intraday investor sentimentSang Ik Seok, Hoon Cho and Doojin Ryu The North American Journal of Economics and Finance, 2021, vol. 58, issue C Abstract: We investigate the effect of intraday sentiment on subsequent stock returns. Mispricing caused by intraday sentiment is not corrected immediately; rather, it lasts for about 30 min. After 30 min, however, investor sentiment negatively affects stock returns, suggesting that mispriced stocks are at least partially but not entirely adjusted back to their fundamental values. We also show that the effect of intraday sentiment depends on the degree of arbitrage. Intraday sentiment has little effect on firms that are easy to arbitrage. For these firms, the difference in the one-minute returns of firms with high and low sentiment is nearly zero, implying that any mispricing caused by intraday sentiment is immediately corrected for this group of firms. In contrast, among firms that are hard to arbitrage, the difference in the returns of firms with high and low sentiment lasts for about half an hour. This difference in the effect of intraday sentiment is not caused by the firms’ liquidities. Keywords: Behavioral bias; High-frequency data; Intraday investor sentiment; Mispricing; Stock market reaction (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:58:y:2021:i:c:s1062940821001340 DOI: 10.1016/j.najef.2021.101516 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 |
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