Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/18919
Title: Investor sentiment and stock returns : Wenchuan Earthquake
Authors: Shan, L
Gong, SX 
Keywords: Behavioral finance
Disasters
Earthquake
Local bias
Sentiment
Stock Returns
Issue Date: 2012
Publisher: Academic Press Inc Elsevier Science
Source: Finance research letters, 2012, v. 9, no. 1, p. 36-47 How to cite?
Journal: Finance Research Letters 
Abstract: This paper exploits a natural experiment (the Wenchuan Earthquake in China) to study the effects of investor sentiment on stock returns. We find that during the 12. months following the earthquake, stock returns are significantly lower for firms headquartered nearer the epicenter than for firms further away. Further analyses indicate that this pattern of stock returns does not exist before or long after the earthquake, and cannot be explained by actual economic losses or a change in systematic risk. Overall, our evidence is consistent with the interaction of local bias and investor sentiment affecting stock returns.
URI: http://hdl.handle.net/10397/18919
DOI: 10.1016/j.frl.2011.07.002
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