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

dc.contributor.authorMarczak, Martynade
dc.contributor.authorBeißinger, Thomasde
dc.date.accessioned2024-04-08T08:51:32Z
dc.date.available2024-04-08T08:51:32Z
dc.date.created2015-09-07
dc.date.issued2015
dc.description.abstractThis 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.swb445040688
dc.identifier.urihttps://hohpublica.uni-hohenheim.de/handle/123456789/5929
dc.identifier.urnurn:nbn:de:bsz:100-opus-11037
dc.language.isoeng
dc.relation.ispartofseriesHohenheim discussion papers in business, economics and social sciences; 2015,06
dc.rights.licensepubl-mit-poden
dc.rights.licensepubl-mit-podde
dc.rights.urihttp://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subjectWavelet phase angleen
dc.subjectWavelet analysisen
dc.subjectSentiment indicatoren
dc.subjectExcess returnsen
dc.subjectSpeculative bubbleen
dc.subjectStock marketen
dc.subject.ddc330
dc.subject.gndAktienmarktde
dc.subject.gndSpekulative Blasede
dc.titleBidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspectivede
dc.type.dcmiTextde
dc.type.diniWorkingPaperde
local.accessuneingeschränkter Zugriffen
local.accessuneingeschränkter Zugriffde
local.bibliographicCitation.publisherPlaceUniversität Hohenheimde
local.export.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}, }
local.export.bibtexAuthorMarczak, Martyna and Beißinger, Thomas
local.export.bibtexKeyMarczak2015
local.export.bibtexType@techreport
local.faculty.number3de
local.institute.number520de
local.opus.number1103
local.series.issueNumber2015,06
local.series.titleHohenheim discussion papers in business, economics and social sciences
local.universityUniversität Hohenheimde
local.university.facultyFaculty of Business, Economics and Social Sciencesen
local.university.facultyFakultät Wirtschafts- und Sozialwissenschaftende
local.university.instituteInstitute for Economicsen
local.university.instituteInstitut für Volkswirtschaftslehrede

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