Arbeitspapier

Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective

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.

Sprache
Englisch

Erschienen in
Series: Hohenheim Discussion Papers in Business, Economics and Social Sciences ; No. 06-2015

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Thema
wavelet phase angle
wavelet analysis
sentiment indicator
excess returns
speculative bubble
stock market

Ereignis
Geistige Schöpfung
(wer)
Marczak, Martyna
Beissinger, Thomas
Ereignis
Veröffentlichung
(wer)
Universität Hohenheim, Fakultät Wirtschafts- und Sozialwissenschaften
(wo)
Stuttgart
(wann)
2015

Handle
URN
urn:nbn:de:bsz:100-opus-11037
Letzte Aktualisierung
20.09.2024, 08:24 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Marczak, Martyna
  • Beissinger, Thomas
  • Universität Hohenheim, Fakultät Wirtschafts- und Sozialwissenschaften

Entstanden

  • 2015

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