Impact of Sentiment Media on European Stock Markets: Influence of National Culture

Médias et sentiment sur les marchés actions européens: influence de la culture nationale

Nicolas Boitout, Fabrice Herve and Mohamed Zouaoui
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Mohamed Zouaoui: CREGO - Centre de Recherche en Gestion des Organisations (EA 7317) - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UB - Université de Bourgogne - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]

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Abstract: This paper develops a new measure of investor sentiment in Europe using daily content from a Financial Times column. Consistent with the behavioral approach, we find that our investor sentiment measure impacts the returns of stocks hard to value and difficult to arbitrage. High pessimistic (optimistic) sentiment induces downward (upward) price pressure followed by a reversion of prices to fundamentals. Furthermore, we show that the culture influences the relationship between investor sentiment and stock returns. In particular, the impact of sentiment on stock returns is more pronounced in countries, which are culturally more prone to herd-like behavior and overreaction.

Keywords: stock markets; investor sentiment; culture; marchés financiers; médias; sentiment de l'investisseur (search for similar items in EconPapers)
Date: 2016
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Published in Management international = International management = Gestión internacional, 2016, 20 (2), pp.134--156. ⟨10.7202/1046568ar⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01329169

DOI: 10.7202/1046568ar

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