Abstract

http://ssrn.com/abstract=2146320
 


 



The Impact of Sentiment on Price Discovery


Jeffrey Coulton


UNSW Business School

Tami Dinh


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

Abstract:     
We study how investor sentiment a ects 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


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Date posted: September 14, 2012 ; Last revised: March 4, 2015

Suggested Citation

Coulton, Jeffrey and Dinh , Tami and Jackson, Andrew B., The Impact of Sentiment on Price Discovery (December 26, 2014). Accounting & Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2146320 or http://dx.doi.org/10.2139/ssrn.2146320

Contact Information

Jeffrey J. Coulton
UNSW Business School ( email )
Sydney, NSW 2052
Australia
+61293855811 (Phone)
+93855925 (Fax)

Tami Dinh
University of St. Gallen, Institute of Accounting, Control, Auditing ( email )
St. Gallen, 9000
Switzerland
HOME PAGE: http://www.aca.unisg.ch/en
Andrew B. Jackson (Contact Author)
UNSW Australia Business School, School of Accounting ( email )
Sydney, NSW 2052
Australia

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