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ResearchPaper
2015
Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective
Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective
Abstract (English)
This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead–lag relation between these variables. The wavelet phase angle allows for decoupling short– and long–run relations and is additionally capable of identifying time–varying comovement patterns. By applying this concept to excess returns of the monthly S&P500 index and two alternative monthly US sentiment indicators we find that in the short run (until 3 months) sentiment is leading returns whereas for periods above 3 months the opposite can be observed.
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Publication series
Hohenheim discussion papers in business, economics and social sciences; 2015,06
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Faculty
Faculty of Business, Economics and Social Sciences
Institute
Institute of Economics
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Language
English
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Classification (DDC)
330 Economics
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BibTeX
@techreport{Marczak2015,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5929},
author = {Marczak, Martyna and Beißinger, Thomas},
title = {Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective},
year = {2015},
school = {Universität Hohenheim},
series = {Hohenheim discussion papers in business, economics and social sciences},
}