The Impact of Sentiment on Price Discovery

38 Pages Posted: 14 Sep 2012 Last revised: 4 Mar 2015

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

Multiple version iconThere are 2 versions of this paper

Date Written: December 26, 2014

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.

Keywords: Price Discovery, Sentiment, Timeliness

JEL Classification: G1, G14, G02

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

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

Paper statistics

Downloads
136
Rank
173,746
Abstract Views
772