The Relationship between Investor Sentiment, Information Transparency and Stock Return
| Autor: | Tzu-Yin Wang, 王姿尹 |
|---|---|
| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 This study uses the sample of listed firms on the Taiwanese stock market during the period from 2005 to 2010, and the evaluation outcomes made by the Securities and Futures Institute are used as a proxy for the information transparency. First, this study investigates the relationship between information transparency and investor sentiment. Then, information transparency and investor sentiment are separately linked with the stock returns. The empirical results of this study show that firms with relative higher level of information transparency have higher investor sentiment than those with lower level of information transparency. If information is more transparent in the market, investors acquire more complete information that help to reduce investment uncertainty, and thus increase the investor sentiment. As the investor sentiment of a firm increased, its stock will have a higher abnormal return. Furthermore, this study examines whether abnormal stock returns are different according to the different levels of information transparency. This study finds that firms with higher level of information transparency have higher abnormal stock returns than those with lower level of information transparency. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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