Firm-Specific Investor Sentiment, Confirmation Bias, and Market Response to Earnings Information

• 영문명: Firm-Specific Investor Sentiment, Confirmation Bias, and Market Response to Earnings Information
• 발행기관: The International Academy of Global Business and Trade
• 저자명: Su-Young Choi Heejeong Shin
• 간행물 정보: 『Journal of Global Business and Trade』Vol. 19, No. 1, 39~55쪽, 전체 17쪽
• 주제분류: 사회과학 > 무역학
• 파일형태: PDF
• 발행일자: 2023.02.28

영문 초록

Purpose - This study investigates the effect of firm-specific investor sentiment on the asymmetry of the market’s response to signed earnings of accounting information (i.e., positive/negative unexpected earnings). Applying cognitive attribution (i.e., confirmation bias), which arises due to the incongruency of prior and new information to market earning reactions, this paper aims to provide another insight into the market’s efficiency of accounting information. Design/Methodology/Approach - This study hypothesizes that firm-specific investor sentiment is associated with market reactions to earnings information. Using 4,802 firm-year observations of KSE listed firms from 2011 to 2018, this study conducts a series of multiple regression analyses that estimate the moderate/ incremental effect of investor sentiment on market earnings responses. Findings - The analysis results show that on average, firm-specific sentiment plays a role as a reference in interpreting subsequent earnings information. This leads investors to under-react to signed earnings at the announcement date, relying on the sentiment level. Research Implications - This study is distinct from prior literature in using individual firm investor sentiment deemed to be relatively faithful for representing the external mood of firms. By linking the market’s earnings response with investor cognitive attribution (i.e., confirmation bias), this study looks more closely into market informational efficiency.

목차

Ⅰ. Introduction

Ⅱ. Research Background

Ⅲ. Research Methodology

Ⅳ. Empirical Results

Ⅴ. Conclusions

References

키워드

confirmation bias earnings information earnings response firm-specific investor sentiment investor behavior