The impact of sentiment on price discovery |
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| Authors: | Jeffrey J. Coulton Tami Dinh Andrew B. Jackson |
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| Affiliation: | 1. UNSW Business School, UNSW Australia, Sydney, NSW, Australia;2. Institute of Accouting, Control and Auditing, University of St. Gallen, St. Gallen, Switzerland |
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| 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. |
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| Keywords: | Price discovery Sentiment Timeliness |
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