À繫¿¬±¸ Á¦ ±Ç È£ (2020³â 11¿ù)
Asian Review of Financial Research, Vol., No..
pp.121~160
pp.121~160
Information uncertainty, market sentiment, and analyst reports
Karam Kim College of Economics, Sungkyunkwan University, Seoul, Korea
Doojin Ryu College of Economics, Sungkyunkwan University, Seoul, Korea
Heejin Yang Department of Global Economics and Commerce, Dongguk University Gyeongju Campus, Gyeongsangbuk-do, Korea
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.
Karam Kim
Doojin Ryu
Heejin Yang
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.