This study finds that conflicts between directions of investor sentiment and those of revenue surprises delay market responses to revenue surprises. The implication for investment management is that revenue-based investment strategies that account for investor sentiment will outperform alternative investment strategies that do not account for investor sentiment. In addition, the delayed reaction increases with governmental restrictions on short sales. The positive relation corroborates the common assertion that limited arbitrage contributes to market inefficiency. Therefore, to implement a policy of improving market efficiency, government needs to slack restrictions on short-sale. Furthermore, we conclude that even institutional investors cannot be immune from this delayed reaction. Accordingly, institutional investors who avoid (and further exploit) the delayed reaction can significantly improve their investment performance.