RT Generic
T1 Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective
A1 Marczak,Martyna
A1 Beissinger,Thomas
WP 2015/09/07
AB 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.
K1 Aktienmarkt
K1 Spekulative Blase
PP Hohenheim
PB Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim
UL http://opus.uni-hohenheim.de/volltexte/2015/1103