Melancholia and Japanese stock returns - 2003 to 2012
MetadataShow full item record
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.
Open access to this article is currently embargoed until 11 07 2019
Showing items related by title, author, creator and subject.
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 ...
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 ...
Smales, Lee (2016)I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in ...