News, sentiment and the stock market return

岡田 克彦 (関西学院大学)
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大証寄附研究部門セミナーシリーズ 第41回
News, sentiment and the stock market return

岡田 克彦 (関西学院大学)

In an efficient market where firms’ stock prices rapidly incorporate all value-relevant signals, new information becomes stale information almost instantly. Based on theory alone, the impact of non-value-relevant sentiment information on asset prices is unclear. The proliferation of news increases the speed and quantity of information dissemination, which could enhance informational efficiency. On the other hand, when investors have time to read or conduct only a limited number of professional analyses, how would they choose to pick a stock to invest? Attention is a scarce resource. When there are too many alternatives, options and factors to be considered, investors are unable to pay attention to all of them but rather choose to rely on sentiment or mood of the market. Market sentiment in news should play some role in investor behavior.

In this seminar, I will cover a couple of research papers in which we have endeavored to find the relationship among news, sentiment, and investor behavior; and discuss potential return predictability using news data.

講 師:
岡田 克彦 (関西学院大学)
News, sentiment and the stock market return
日 時:
場 所:
大阪大学(豊中キャンパス) 法・経大学院総合研究棟 509セミナー室