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Firm-level investor sentiment and corporate announcement Effect: evidence from China

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  • Li, Xiao
  • Chen, Ming

Abstract

Existing literature primarily associates corporate announcement effect with market-level investor sentiment, overlooking the cross-sectional variation in investor sentiment. This paper investigates the impact of firm- and market-level investor sentiment on corporate announcement effect in Chinese stock market. We find that firm-level investor sentiment is positively related to corporate announcement returns and turnover. On the other hand, there is a negative relationship between firm-level investor sentiment and the long-run post-announcement returns. We also empirically illustrate that firm-level investor sentiment has marginal explanatory power beyond market-level investor sentiment for corporate announcement effect. Our research offers theoretical guidance for the selection of appropriate investor sentiment metrics in future studies exploring the impact of investor sentiment on firm-level issues.

Suggested Citation

  • Li, Xiao & Chen, Ming, 2025. "Firm-level investor sentiment and corporate announcement Effect: evidence from China," Research in International Business and Finance, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:riibaf:v:78:y:2025:i:c:s027553192500282x
    DOI: 10.1016/j.ribaf.2025.103026
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