Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Melancholia and Japanese stock returns - 2003 to 2012

    241464.pdf (2.360Mb)
    Access Status
    Open access
    Authors
    Khuu, Joyce
    Durand, Robert
    Smales, Lee
    Date
    2016
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Khuu, J. and Durand, R. and Smales, L. 2016. Melancholia and Japanese stock returns - 2003 to 2012. Pacific-Basin Finance Journal. 40 (Part B): pp. 424-437.
    Source Title
    Pacific-Basin Finance Journal
    DOI
    10.1016/j.pacfin.2016.05.011
    ISSN
    0927-538X
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/7081
    Collection
    • Curtin Research Publications
    Abstract

    Japan's “lost decades” challenge a central tenet of finance, namely a positive relationship between risk and expected return. We present evidence that Japan's dismal returns are a function of sentiment both at the aggregate market and individual firm level. Utilizing a text-based measure of news sentiment (Thomson Reuters News Analytics) to proxy for investor sentiment, we find that sentiment is predominately negative during our sample period (2003 to 2012) and is associated with negative returns. We also find that the effect of news sentiment is greatest for smaller firms.

    Related items

    Showing items related by title, author, creator and subject.

    • The importance of fear: investor sentiment and stock market returns
      Smales, Lee (2017)
      The presence of investor sentiment pushes asset prices away from the equilibrium level justified by underlying fundamentals. While sentiment is not directly observable, identifying appropriate proxies and, quantifying the ...
    • Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market?
      Cheema, M.; Man, Y.; Szulczyk, Kenneth (2018)
      © 2018 International Review of Finance Ltd. Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since ...
    • Swings in sentiment and stock returns: Evidence from a frontier market
      Rahman, M.; Shien, L.; Sadique, Shibley (2013)
      We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.