Does Investor Sentiment Affect the Value Relevance of Accounting Information?

Autor:	Eliza Wu, Wen He, Ki Hoon Hong
Rok vydání:	2020
Předmět:	Earnings yield Index (economics) Earnings Accounting Accounting information system Value (economics) Information processing Econometrics Economics Arbitrage Stock (geology)
Zdroj:	Abacus. 56:535-560
ISSN:	1467-6281 0001-3072
DOI:	10.1111/abac.12203
Popis:	We investigate whether investor sentiment affects the relationships between accounting variables and contemporaneous stock returns. Using price-relevant accounting variables identified by Chen and Zhang (2007) and the investor sentiment index constructed by Baker and Wurgler (2006), we find that the value relevance of accounting variables is collectively lower in high sentiment periods than in low sentiment periods. More importantly, earnings yield appears to be more related to contemporaneous stock returns in high sentiment periods, while other accounting variables are more related to stock returns in low sentiment periods. The effect of investor sentiment on the value relevance of accounting information is stronger for firms that are more difficult to value and to arbitrage.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::23511c8920da5c99f98fb5cc3017a84f https://doi.org/10.1111/abac.12203 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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