The Impact of Sentiment on Price Discovery

26 Pages Posted: 2 Sep 2016

See all articles by Jeffrey Coulton

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: September 2016

Abstract

We study how investor sentiment affects 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‚Äźwide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.

Keywords: Price discovery, Sentiment, Timeliness

Suggested Citation

Coulton, Jeffrey J. and Dinh, Tami and Jackson, Andrew B., The Impact of Sentiment on Price Discovery (September 2016). Accounting & Finance, Vol. 56, Issue 3, pp. 669-694, 2016. Available at SSRN: https://ssrn.com/abstract=2833597 or http://dx.doi.org/10.1111/acfi.12128

Jeffrey J. Coulton (Contact Author)

UNSW Business School ( email )

UNSW Business School
High St
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

UNSW Australia Business School, School of Accounting ( email )

Sydney, NSW 2052
Australia

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