We investigate the effect of intraday sentiment on subsequent stock returns. Mispricing caused by intraday sentiment is not corrected immediately; rather, it lasts for about 30 min. After 30 min, however, investor sentiment negatively affects stock returns, suggesting that mispriced stocks are at least partially but not entirely adjusted back to their fundamental values. We also show that the effect of intraday sentiment depends on the degree of arbitrage. Intraday sentiment has little effect on firms that are easy to arbitrage. For these firms, the difference in the one-minute returns of firms with high and low sentiment is nearly zero, implying that any mispricing caused by intraday sentiment is immediately corrected for this group of firms. In contrast, among firms that are hard to arbitrage, the difference in the returns of firms with high and low sentiment lasts for about half an hour. This difference in the effect of intraday sentiment is not caused by the firms’ liquidities.

我们调查日内情绪对后续股票回报的影响。盘中情绪导致的错误定价不会立即得到纠正；相反，它持续约 30 分钟。然而，30 分钟后，投资者情绪对股票回报产生负面影响，表明错误定价的股票至少部分但未完全调整回其基本价值。我们还表明，日内情绪的影响取决于套利程度。盘中情绪对容易套利的公司影响不大。对于这些公司，情绪高低的公司的一分钟回报差异几乎为零，这意味着对于这组公司，任何由日内情绪引起的错误定价都会立即得到纠正。相比之下，在难以套利的公司中，高情绪和低情绪公司的回报差异持续约半小时。日内情绪影响的这种差异不是由公司的流动性引起的。