Advanced search
Publication Cover
Applied Economics Letters Volume 23, 2016 - Issue 18
Submit an article Journal homepage
312
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

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

Martyna MarczakDepartment of Economics, University of Hohenheim, Stuttgart, GermanyCorrespondence[email protected]
&
Thomas BeissingerDepartment of Economics, University of Hohenheim, Stuttgart, Germany;IZA, Bonn, Germany
Pages 1305-1311 | Published online: 23 Mar 2016

References

  • Aguiar-Conraria, L., and Soares, M. J. 2011. “ASToolbox.” Accessed December 9, 2015. https://sites.google.com/site/aguiarconraria/joanasoares-wavelets/the-astoolbox
  • Aguiar-Conraria, L., and Soares, M. J. 2014. “The Continuous Wavelet Transform: Moving Beyond Uni- and Bivariate Analysis.” Journal of Economic Surveys 28(2): 344–375. doi:10.1111/joes.12012.
  • Baker, M., and Stein, J. C. 2004. “Market Liquidity as a Sentiment Indicator.” Journal of Financial Markets 7: 271–299. doi:10.1016/j.finmar.2003.11.005.
  • Baker, M., and Wurgler, J. 2006. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance 61(4): 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x.
  • Baker, M., and Wurgler, J. 2007. “Investor Sentiment in the Stock Market.” Journal of Economic Perspectives 21 (2): 129−151. doi:10.3386/w13189.
  • Bathia, D., and Bredin, D. 2013. “An Examination of Investor Sentiment Effect on G7 Stock Market Returns.” The European Journal of Finance 19 (9): 909–937. doi:10.1080/1351847X.2011.636834.
  • Brown, G. W., and Cliff, M. T. 2004. “Investor Sentiment and the Near-Term Stock Market.” Journal of Empirical Finance 11: 1−27. doi:10.1016j.iempfin.2002.12.001.
  • Brown, G. W., and Cliff, M. T. 2005. “Investor Sentiment and Asset Valuation.” Journal of Finance 78 (2): 405−440. doi:10.1086/427633.
  • Cutler, D. M., Poterba, J. M., and Summers, L. H. (1991). “Speculative Dynamics.” The Review of Economic Studies 58: 529−546. doi:10.2307/2298010
  • De Bondt, W., and Thaler, R. 1985. “Does the Stock Market Overreact?” Journal of Finance 40 (3): 793−805. doi:10.2307/2327804.
  • Dergiades, T. 2012. “Do Investors’ Sentiment Dynamics Affect Stock Returns? Evidence from the US Economy.” Economics Letters 116, 404–407. doi:10.1016/j.econlet.2012.04.018.
  • Edmans, A., García, D., and Norli, Ø. 2007. “Sports Sentiment and Stock Returns.” The Journal of Finance 62(4): 1967–1998. doi:10.1111/j.1540-6261.2007.01262.x.
  • Gordon, M. 1962. The Investment, Financing and Valuation of the Corporation. Homewood, IL: RD Irwin.
  • Hirshleifer, D., and Shumway, T. 2003. “Good Day Sunshine: Stock Returns and the Weather.” The Journal of Finance 58 (3), 1009–1032. doi:10.1111/1540-6261.00556.
  • Kim, S., and Kim, D. 2014. “Investor Sentiment from Internet Message Postings and the Predictability of Stock Returns.” Journal of Economic Behavior & Organization 107: 708–729. 10.1016/j.jebo.2014.04.015.
  • Lemmon, M., and Portniaguina, E. 2006. “Consumer Confidence and Asset Prices: Some Empirical Evidence.” Review of Financial Studies 19(4): 1499–1529. doi:10.1093/rfs/hhj038.
  • Li, J. 2015. “The Asymmetric Effects of Investor Sentiment and Monetary Policy on Stock Prices.” Applied Economics 47 (24): 2514–2522. doi:10.1080/00036846.2015.1008770.
  • Lutz, C. (2015). “Asymmetric Effects of Investor Sentiment.” Macroeconomic Dynamics. Advance online publication. doi:10.1017/S1365100514000996.
  • Marczak, M., and Beissinger, T. 2013. “Real Wages and the Business Cycle in Germany.” Empirical Economics 44: 469–490. doi:10.1007/s00181-011-0542-4.
  • Marczak, M., and Gómez, V. 2015. “Cyclicality of Real Wages in the USA and Germany: New Insights from Wavelet Analysis.” Economic Modelling 47: 40–52. doi:10.1016/j.econmod.2015.02.014.
  • Neal, R., and Wheatley, S. M. 1998. “Do Measures of Investor Sentiment Predict Returns?” The Journal of Financial and Quantitative Analysis 33 (4): 523−547. doi:10.2307/2331130.
  • Parkinson, M. (1992). “The Extreme Value Method for Estimating the Variance of the Rate of Return.” Journal of Business 53 (1): 61−65. doi:10.1086/296071.
  • Poterba, J. M., and Summers, L. H. 1988. “Mean Reversion in Stock Prices.” Journal of Financial Economics 22: 27–59. doi:10.1016/0304-405X(88)90021-9.
  • Tetlock, P. C. 2007. “Giving Content to Investor Sentiment: The Role of Media in the Stock Market.” The Journal of Finance 62(3): 1139–1168. doi:10.1111/j.1540-6261.2007.01232.x.
  • Zar, J. H. (1999). Biostatistical Analysis (4th ed.). New Jersey: Prentice Hall.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.