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Firm-specific investor sentiment and stock price informativeness

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  • Qian, Binsheng
  • Tan, Yusen

Abstract

This paper investigates the influence of firm-specific investor sentiment on stock price informativeness in China. Using a composite firm-specific investor sentiment index, we find that sentiment positively influences stock price synchronicity and future price crash risk for opaque stocks. We use firm-specific investor sentiment proxy to develop a market sentiment proxy, which could predict aggregate price synchronicity beyond extant market sentiment indicators. Our results suggest that the composite sentiment index is a reliable proxy and investor sentiment negatively affects price informativeness.

Suggested Citation

  • Qian, Binsheng & Tan, Yusen, 2024. "Firm-specific investor sentiment and stock price informativeness," Finance Research Letters, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007104
    DOI: 10.1016/j.frl.2024.105680
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    More about this item

    Keywords

    Firm-specific investor sentiment; Stock price synchronicity; Stock price crash risk; Chinese stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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