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    Anger, sadness and bear markets

    Access Status
    Fulltext not available
    Authors
    Durand, Robert
    Simon, M.
    Szimayer, A.
    Date
    2009
    Type
    Journal Article
    
    Metadata
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    Citation
    Durand, R. and Simon, M. and Szimayer, A. 2009. Anger, sadness and bear markets. Applied Financial Economics. 19: pp. 357-369.
    Source Title
    Applied Financial Economics
    Additional URLs
    http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=6ee36efe-d005-4097-9d21-9cc82bc868fa%40sessionmgr12&vid=2&hid=110
    ISSN
    09603107
    URI
    http://hdl.handle.net/20.500.11937/38433
    Collection
    • Curtin Research Publications
    Abstract

    Can an understanding of mood help us understand aspects of systematic risk, volume and portfolios’ exposure to systematic risk during bear-market regimes? We hypothesize that bear markets are associated with negative emotions: either a low-arousal negative state (e.g. sadness and depression)or a high-arousal negative state (e.g. anger and stress). We define a bear market as a stock market regime where the average return is statistically significantly lower than zero and find evidence that the bear market of November 1987 to February 1988 behaved as if it was associated with a pervasive low-arousal negative state amongst investors.

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