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Two Essays on Investor Sentiment.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Two Essays on Investor Sentiment./
Author:	Ren, Haohan.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	139 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
Contained By:	Dissertation Abstracts International80-03A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=11012113
ISBN:	9780438658158

Two Essays on Investor Sentiment.
Ren, Haohan.

Two Essays on Investor Sentiment. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 139 p.

Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.

Thesis (Ph.D.)--The Chinese University of Hong Kong (Hong Kong), 2018.

This thesis consists of two essays. Both essays investigate the important role of investor sentiment in stock markets. The first essay examines whether and how different groups of market participants' responses to investor sentiment affect stock return comovement. We find that the stock return comovement following positive investor sentiment is lower than that following negative investor sentiment. Further analyses suggest that this difference is associated with higher firm-specific information production and higher innovation output following positive sentiment. Specifically, following positive investor sentiment, the media and financial analysts produce more firm-specific information, short sellers and institutional investors conduct more informed trading, and firms produce more innovations. Various cross-sectional tests provide supporting evidence that the difference in information production and innovation output indeed contributes to the difference in comovement between positive sentiment periods and negative sentiment periods. Overall, our results shed light on the nontrivial roles of information producers and innovation generators in shaping the relation between sentiment and comovement.

ISBN: 9780438658158Subjects--Topical Terms:

559073
Finance.

Two Essays on Investor Sentiment.
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520 $a This thesis consists of two essays. Both essays investigate the important role of investor sentiment in stock markets. The first essay examines whether and how different groups of market participants' responses to investor sentiment affect stock return comovement. We find that the stock return comovement following positive investor sentiment is lower than that following negative investor sentiment. Further analyses suggest that this difference is associated with higher firm-specific information production and higher innovation output following positive sentiment. Specifically, following positive investor sentiment, the media and financial analysts produce more firm-specific information, short sellers and institutional investors conduct more informed trading, and firms produce more innovations. Various cross-sectional tests provide supporting evidence that the difference in information production and innovation output indeed contributes to the difference in comovement between positive sentiment periods and negative sentiment periods. Overall, our results shed light on the nontrivial roles of information producers and innovation generators in shaping the relation between sentiment and comovement.
520 $a In the second essay, we study how investor sentiment affects stock prices around the world. Relying on households' Google search behavior, we construct a weekly search-based measure of sentiment for 38 countries during the 2004--2014 period. We first validate the sentiment index in tests using sports outcomes and dual-listed firms, and then show that the sentiment measure is a contrarian predictor of country-level market returns. Our event studies offer supporting evidence that the return prediction of sentiment is explained by two theoretical channels: the difficult-to-value channel and the limits-toarbitrage channel. Finally, we document an important role of global sentiment in driving sentiment and predicting returns across countries. These findings support the view that sentiment prevails in stock markets.
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