The Impact of Sentiment on Price Discovery
UNSW Business School
Tami Dinh Thi
University of St. Gallen, Institute of Accounting, Control, Auditing
Andrew B. Jackson
UNSW Australia Business School, School of Accounting
December 26, 2014
Accounting & Finance, Forthcoming
We study how investor sentiment aects the speed with which prices reflect information. Price discovery is more timely for firms with greater sensitivity to sentiment, as measured by a sentiment beta. Our research improves our understanding of the price formation process when sentiment is not assumed to be constant. Our research design is novel as it considers a sentiment beta as well as economy-wide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.
Number of Pages in PDF File: 38
Keywords: Price Discovery, Sentiment, Timeliness
JEL Classification: G1, G14, G02
Date posted: September 14, 2012 ; Last revised: March 4, 2015
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