英文摘要 |
Using revenue announcement data from the Taiwanese stock market, we find that stocks experiencing two consecutive negative revenue surprises will exhibit lower negative returns in adjustment periods when higher investor sentiment exists in prior period. In contrast, the significant return difference does not occur in event periods, albeit which are more close (than adjustment periods) to the very moment when the market receives revenue news. The evidence implies an optimism-driven overpricing over event periods and a delayed downward correction in subsequent adjustment periods. We suggest the role of cognitive dissonance theory in explaining the delayed downward reaction. That is, cognitive dissonance arises when there exists conflicting signals between high investor sentiment and bad revenue surprises, resulting in delayed reaction to bad revenue surprises. The return difference is weaker for stocks with two consecutive positive revenue surprises in pessimism, implying weaker initial underpricing, and thereby corroborating the assertion by Miller (1977) that overpricing is more common than underpricing. The return difference extends for approximately three to six months, confirming the persistence of the delayed reaction predicted by cognitive dissonance theory. The differential return is insensitive to risk factors and various levels of concentrations of retail investors, yet it is stronger among stocks with more binding of short-sale constraints. |