Investor sentiment and the market reaction to macroeconomic news

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 go...

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Veröffentlicht in:	The journal of futures markets 2021-09, Vol.41 (9), p.1412-1426
Hauptverfasser:	Gu, Chen, Chen, Denghui, Stan, Raluca
Format:	Artikel
Sprache:	eng
Schlagworte:	intraday data Investments Investor behavior investor sentiment Investors macroeconomic announcements Macroeconomics market efficiency News Prices Securities markets
Online-Zugang:	Volltext
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