Individual Investors’ Sentiment and Temporary Stock Price Pressure
基于香港股市数据，研究发现个人投资者情绪调查的公布会暂时影响股价，乐观情绪导致当日上涨随后回落，且对小盘股影响最大。
Using data for the Hong Kong stock market, where individual investors’ sentiment is likely to be influential, this study finds that the publication of individual investors’ sentiment temporarily affects stock prices regardless of the publication's incompetence in predicting stock returns. Specifically, when the publication reports that more and more investors are optimistic, the return on the day just after the publication is higher and the return several days later is lower. Furthermore, the results are strongest for small stocks, and weakest for large stocks. It seems that some individual investors buy (sell) stocks when others, as reported by the publication, are optimistic (pessimistic), and that the trading causes temporary buying (selling) pressure initially and price reversals afterwards.