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Beyond Market Mood: Stock Sentiment and the Response to Corporate Earnings Announcements

Karampatsas, N, Malekpour, S and Mason, A (2017) Beyond Market Mood: Stock Sentiment and the Response to Corporate Earnings Announcements SSRN.

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Abstract

This study establishes a relationship between stock-specific investor sentiment and stock price movements around earnings announcements. Stock-specific investor sentiment is the key determinant of price adjustment in the context of an earnings surprise. The effect of stock-specific investor sentiment dominates the effect of macro-sentiment. Finally, we provide evidence that the effect of stock-specific investor sentiment is more pronounced for stocks that are hard to value and difficult to arbitrage.

Item Type: Article
Subjects : Finance
Authors :
NameEmailORCID
Karampatsas, Nn.karampatsas@surrey.ac.ukUNSPECIFIED
Malekpour, SUNSPECIFIEDUNSPECIFIED
Mason, AUNSPECIFIEDUNSPECIFIED
Date : 1 March 2017
Identification Number : 10.2139/ssrn.2926368
Uncontrolled Keywords : Investor sentiment, asset pricing, social media, Twitter, StockTwits, earnings surprises, uncertainty, limits to arbitrage
Related URLs :
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:39
Last Modified : 18 May 2017 13:14
URI: http://epubs.surrey.ac.uk/id/eprint/821095

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