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- W346756085 abstract "We provide evidence that higher-quality disclosure standards are associated with stock returns that are less sensitive to noise driven by investors’ moods. We identify return-mood sensitivity (RMS) based on the association between index returns and urban cloudiness, a source of short-term variation in mood. Based on a stylized model, we predict and find evidence consistent with higher-quality disclosure standards reducing RMS by tilting susceptible investors’ trades toward information and by facilitating sophisticated investors’ arbitrage. Our findings suggest that disclosure standards play an important role in enhancing price efficiency by reducing noise in returns, particularly noise related to investors’ short-term moods." @default.
- W346756085 created "2016-06-24" @default.
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- W346756085 date "2012-01-01" @default.
- W346756085 modified "2023-09-23" @default.
- W346756085 title "Disclosure Standards and Noise Trade" @default.
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- W346756085 doi "https://doi.org/10.2139/ssrn.2007289" @default.
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