Market Response to Investor Sentiment
研究了投资者情绪对股票价格的即时反应和中期可预测性，发现两者方向一致，支持市场对现金流新闻反应不足或情绪导致错误定价的解释。
Abstract This paper reconsiders the effect of investor sentiment on stock prices. Our main contribution is that, in addition to the intermediate term return predictability, we also analyze the immediate price reaction to the publication of survey‐based investor sentiment indicators. We find that the sign of the immediate market response is the same as that of the predictability at intermediate time horizons. This is consistent with underreaction to cash flow news or with investor sentiment being related to mispricing. It is inconsistent with the alternative explanations of a rational response to cash flow news or sentiment indicators providing information about future expected returns.