| Autor: |
Marczak, Martyna, Beissinger, Thomas |
| Jazyk: |
angličtina |
| Rok vydání: |
2015 |
| Předmět: |
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| Popis: |
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 leadlag relation between these variables. The wavelet phase angle allows for decoupling short and longrun relations and is additionally capable of identifying timevarying 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. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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