38 Pages Posted: 14 Sep 2012 Last revised: 4 Mar 2015
Date Written: December 26, 2014
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.
Keywords: Price Discovery, Sentiment, Timeliness
JEL Classification: G1, G14, G02
Suggested Citation: 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: https://ssrn.com/abstract=2146320 or http://dx.doi.org/10.2139/ssrn.2146320