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Stock Market's responses to intraday investor sentiment

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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.
Author(s)
석상익조훈류두진
Issued Date
2021
Type
Article
Keyword
Behavioral biasBusiness schoolsHigh-frequency dataIntraday investor sentiment MispricingStock market reactionStock marketsStocks
DOI
10.1016/j.najef.2021.101516
URI
https://oak.ulsan.ac.kr/handle/2021.oak/9318
https://ulsan-primo.hosted.exlibrisgroup.com/primo-explore/fulldisplay?docid=TN_cdi_gale_infotracacademiconefile_A684964894&context=PC&vid=ULSAN&lang=ko_KR&search_scope=default_scope&adaptor=primo_central_multiple_fe&tab=default_tab&query=any,contains,Stock%20Market%27s%20responses%20to%20intraday%20investor%20sentiment&offset=0&pcAvailability=true
Publisher
North American Journal of Economics and Finance
Location
미국
Language
한국어
ISSN
1062-9408
Citation Volume
58
Citation Start Page
0
Citation End Page
0
Appears in Collections:
Business > Business Administration
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