원문정보
초록
영어
This study examines the effects of investor sentiment and information uncertainty on the stock market response to analyst recommendation changes within a unified framework. Recent progress in the field of behavioral finance suggests that sentiment affects the classical relationship between analyst recommendations and stock return dynamics. Our novel findings suggest that the degree of information uncertainty should be considered when investigating the effect of sentiment. Although investor sentiment significantly explains the observed stock market reactions to analyst recommendation changes under high information uncertainty, it loses its explanatory power under low information uncertainty. Furthermore, analyst recommendations convey significant trading indications if information uncertainty is high, but they are less informative if information uncertainty is low.
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Abstract
1. Introduction
2. Related Literature and Research Hypotheses
3. Sample Data and Methodology
3.1 Analyst recommendation changes
3.2 Investor sentiment
3.3 Information uncertainty
3.4 Methodology
4. Empirical Results
4.1 Analyst recommendation changes and information uncertainty
4.2 Sentiment effect versus information uncertainty
4.3 Robustness checks
5. Conclusion
Reference