Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective

Marczak, Martyna; Beißinger, Thomas

Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective

dc.contributor.author	Marczak, Martyna	de
dc.contributor.author	Beißinger, Thomas	de
dc.date.accessioned	2024-04-08T08:51:32Z
dc.date.available	2024-04-08T08:51:32Z
dc.date.created	2015-09-07
dc.date.issued	2015
dc.description.abstract	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.	en
dc.identifier.swb	445040688
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5929
dc.identifier.urn	urn:nbn:de:bsz:100-opus-11037
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheim discussion papers in business, economics and social sciences; 2015,06
dc.rights.license	publ-mit-pod	en
dc.rights.license	publ-mit-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subject	Wavelet phase angle	en
dc.subject	Wavelet analysis	en
dc.subject	Sentiment indicator	en
dc.subject	Excess returns	en
dc.subject	Speculative bubble	en
dc.subject	Stock market	en
dc.subject.ddc	330
dc.subject.gnd	Aktienmarkt	de
dc.subject.gnd	Spekulative Blase	de
dc.title	Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.faculty.number	3	de
local.institute.number	520	de
local.opus.number	1103
local.series.issueNumber	2015,06
local.series.title	Hohenheim discussion papers in business, economics and social sciences
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

Files

Original bundle

Now showing 1 - 1 of 1

Name:: dp_06_2015_online.pdf
Size:: 314.72 KB
Format:: Adobe Portable Document Format
Description:: Open Access Fulltext

Download

Collections

Institut für Volkswirtschaftslehre