14:00 - 16:00
Professor Alexandros Kontonikas, with Haifeng Guo and Chi-Hsiou D. Hung
Lectures, talks and seminars
Essex Finance Centre
Essex Business School
Essex Finance Centre is delighted to welcome Professor Alexandros Kontonikas, Haifeng Guo and Chi-Hsiou D. Hung to our weekly research seminar series to present their paper, titled 'Investor Sentiment and the Stock Price Reaction to Monetary Policy News'.
In this paper, we show that the state of investor sentiment strongly affects the response of stock prices to news about the Fed’s conventional and non-conventional monetary policies. We find that the stock price reaction to monetary policy news is significant only following periods of high sentiment and during periods of decreasing sentiment. In the cross-section of stock portfolios sorted on size, book-to market ratio and momentum, stocks that are more sensitive to monetary policy news are those that are more exposed to overpricing when sentiment is high, and consequently more prone to lose value when the mispricing is corrected. Our evidence posits a challenge to the rational asset pricing viewpoint.
Professor Kontonikas is a graduate of the Athens University of Economics and Business. He holds an MSc in Business Finance and a PhD in Financial Economics from Brunel University. He joined Essex Business School in September 2016, having previously been employed at the University of Glasgow (2005-2016) and Brunel University (2003-2005).