期刊論文
| 學年 | 106 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2017-11-23 |
| 作品名稱 | Market Reaction to Macroeconomic News: The Role of Investor Sentiment |
| 作品名稱（其他語言） | |
| 著者 | Chen Hung-Kun; Lien Chen-Ting |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Asia-Pacific Journal of Financial Studies, 46 (6), 853－875 |
| 摘要 | This paper demonstrates that risk is unlikely to be the only factor explaining the excess return difference between macroeconomic announcement days and other trading days. We argue that investor sentiment may affect the return on the prescheduled macroeconomic news release. We find that the return on macroeconomic announcement days is much higher than the return on other days, especially when changes in investor sentiment are higher. The impact of investor sentiment on the macroeconomic announcement effect is greater when investor sentiment is higher. Our results remain valid using different investor sentiment measures and testing for heteroscedasticity in stock returns. |
| 關鍵字 | Macroeconomic announcements;Investor sentiment |
| 語言 | en_US |
| ISSN | 2041-6156 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Chen, Hung-Kun |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/112532 ) |