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- Title
The impact of sentiment on price discovery.
- Authors
Coulton, Jeffrey J.; Dinh, Tami; Jackson, Andrew B.; Smith, Tom
- 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-wide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.
- Subjects
INVESTORS; PRICING; INVESTMENTS; CORPORATIONS; EXPERIMENTAL design
- Publication
Accounting & Finance, 2016, Vol 56, Issue 3, p669
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/acfi.12128