Investor sentiment and the market reaction to macroeconomic news
研究发现，当投资者情绪高涨时，股市对宏观经济新闻的反应会减弱，对好消息和坏消息的反应都降低50%，表明情绪阻碍了公共信息融入资产价格。
Abstract We provide evidence that the stock market response to macroeconomic news weakens in times of high investor sentiment. The reaction to macroeconomic information is 50% weaker in times of elevated bullish investor sentiment, relative to periods of low sentiment. This dampening effect holds for both good and bad macroeconomic news. Investor sentiment seems to hinder the incorporation of public information into asset prices. Our findings shed new light on how investor sentiment affects the link between fundamentals and security prices.