教師資料查詢 | 類別: 期刊論文 | 教師: 陳鴻崑 Hung-Kun Chen (瀏覽個人網頁)

標題:Market Reaction to Macroeconomic News: The Role of Investor Sentiment
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), 853875
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
語言英文(美國)
ISSN2041-6156
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
國別美國
公開徵稿
出版型式,電子版,紙本
相關連結
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