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Investor sentiment and the market reaction to macroeconomic news
Journal of Futures Markets ( IF 2.350 ) Pub Date : 2021-05-20 , DOI: 10.1002/fut.22219
Chen Gu 1 , Denghui Chen 2 , Raluca Stan 3
Affiliation  

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.

中文翻译:

投资者情绪和市场对宏观经济消息的反应

我们提供的证据表明,在投资者情绪高涨的时期,股市对宏观经济消息的反应减弱。相对于情绪低迷时期,在投资者看涨情绪高涨时期,对宏观经济信息的反应要弱 50%。这种抑制效应对宏观经济的好消息和坏消息都适用。投资者情绪似乎阻碍了将公共信息纳入资产价格。我们的研究结果揭示了投资者情绪如何影响基本面和证券价格之间的联系。
更新日期:2021-05-20
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