Stock prices, dividends, earnings, and investor sentiment

Chung Baek ()
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Chung Baek: Troy University

Review of Quantitative Finance and Accounting, 2016, vol. 47, issue 4, No 7, 1043-1061

Abstract: 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.

Keywords: Investor sentiment; Co-integration; Causality; Copula; Structural break (search for similar items in EconPapers)
JEL-codes: G02 G10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s11156-015-0530-4

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