Sentiment bubbles
Author
Abstract
Suggested Citation
DOI: 10.1016/j.finmar.2015.01.002
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross‐Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
- Dilip Abreu & Markus K. Brunnermeier, 2003.
"Bubbles and Crashes,"
Econometrica, Econometric Society, vol. 71(1), pages 173-204, January.
- Abreu, Dilip & Brunnermeier, Markus K., 2002. "Bubbles and crashes," LSE Research Online Documents on Economics 24905, London School of Economics and Political Science, LSE Library.
- Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers dp401, Financial Markets Group.
- Matsushima, Hitoshi, 2013.
"Behavioral aspects of arbitrageurs in timing games of bubbles and crashes,"
Journal of Economic Theory, Elsevier, vol. 148(2), pages 858-870.
- Hitoshi Matsushima, 2009. "Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes," CIRJE F-Series CIRJE-F-606, CIRJE, Faculty of Economics, University of Tokyo.
- Hitoshi Matsushima, 2012. "Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes," CARF F-Series CARF-F-285, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Hitoshi Matsushima, 2009. "Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes," CARF F-Series CARF-F-144, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Hitoshi Matsushima, 2012. "Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes," CIRJE F-Series CIRJE-F-857, CIRJE, Faculty of Economics, University of Tokyo.
- Neal, Robert & Wheatley, Simon M., 1998. "Do Measures of Investor Sentiment Predict Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(4), pages 523-547, December.
- De Long, J Bradford, et al, 1990.
"Positive Feedback Investment Strategies and Destabilizing Rational Speculation,"
Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Scholarly Articles 27693805, Harvard University Department of Economics.
- Wei Xiong & Jialin Yu, 2011.
"The Chinese Warrants Bubble,"
American Economic Review, American Economic Association, vol. 101(6), pages 2723-2753, October.
- Wei Xiong & Jialin Yu, 2009. "The Chinese Warrants Bubble," NBER Working Papers 15481, National Bureau of Economic Research, Inc.
- Peter Temin & Hans-Joachim Voth, 2004.
"Riding the South Sea Bubble,"
American Economic Review, American Economic Association, vol. 94(5), pages 1654-1668, December.
- Peter Temin & Hans-Joachim Voth, 2003. "Riding the South Sea Bubble," Working Papers 91, Barcelona School of Economics.
- Peter Temin & Joachim Voth, 2004. "Riding the South Sea bubble," Economics Working Papers 861, Department of Economics and Business, Universitat Pompeu Fabra.
- Temin, Peter & Voth, Hans-Joachim, 2004. "Riding the South Sea Bubble," CEPR Discussion Papers 4221, C.E.P.R. Discussion Papers.
- Peter Temin & Hans-Joachim Voth, 2004. "Riding the South See Bubble," Working Papers 213, Barcelona School of Economics.
- Gregory W. Brown & Michael T. Cliff, 2005. "Investor Sentiment and Asset Valuation," The Journal of Business, University of Chicago Press, vol. 78(2), pages 405-440, March.
- Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Berger, Dave & Turtle, H.J., 2012. "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1107-1121.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- repec:bla:jfinan:v:59:y:2004:i:5:p:2013-2040 is not listed on IDEAS
- John M. Griffin & Jeffrey H. Harris & Tao Shu & Selim Topaloglu, 2011. "Who Drove and Burst the Tech Bubble?," Journal of Finance, American Finance Association, vol. 66(4), pages 1251-1290, August.
- Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2005.
"Coordination of Expectations in Asset Pricing Experiments,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 955-980.
- Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2003. "Coordination of Expectations in Asset Pricing Experiments," Tinbergen Institute Discussion Papers 03-010/1, Tinbergen Institute.
- Malcolm Baker & Jeffrey Wurgler, 2012. "Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 2(1), pages 57-87.
- McQueen, Grant & Thorley, Steven, 1994. "Bubbles, Stock Returns, and Duration Dependence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 379-401, September.
- Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, vol. 56(5), pages 1119-1151, September.
- Wei Xiong & Jialin Yu, 2011. "The Chinese Warrants Bubble," Working Papers 1398, Princeton University, Department of Economics, Econometric Research Program..
- Halling, Michael & Moulton, Pamela C. & Panayides, Marios, 2013. "Volume Dynamics and Multimarket Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 489-518, April.
- Shane A. Corwin & Paul Schultz, 2012. "A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices," Journal of Finance, American Finance Association, vol. 67(2), pages 719-760, April.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Rosenthal, Robert W., 1981. "Games of perfect information, predatory pricing and the chain-store paradox," Journal of Economic Theory, Elsevier, vol. 25(1), pages 92-100, August.
- Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tingqiang Chen & Binqing Xiao & Haifei Liu, 2018. "Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions," Complexity, Hindawi, vol. 2018, pages 1-16, March.
- Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
- Akiyama, Eizo & Hanaki, Nobuyuki & Ishikawa, Ryuichiro, 2014.
"How do experienced traders respond to inflows of inexperienced traders? An experimental analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 1-18.
- Eizo Akiyama & Nobuyuki Hanaki & Ryuichiro Ishikawa, 2013. "How Do Experienced Traders Respond to Inflows of Inexperienced Traders? An Experimental Analysis," Working Papers halshs-00920413, HAL.
- Eizo Akiyama & Nobuyuki Hanaki & Ryuichiro Ishikawa, 2014. "How do experienced traders respond to inflows of inexperienced traders? An experimental analysis," Post-Print hal-01463903, HAL.
- Eizo Akiyama & Nobuyuki Hanaki & Ryuichiro Ishikawa, 2013. "How Do Experienced Traders Respond to Inflows of Inexperienced Traders? An Experimental Analysis," AMSE Working Papers 1359, Aix-Marseille School of Economics, France, revised 18 Dec 2013.
- Yang, Yan & Copeland, Laurence, 2014. "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers E2014/12, Cardiff University, Cardiff Business School, Economics Section.
- Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2021.
"Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals,"
Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1593-1621, May.
- Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2020. "Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals," Discussion Papers 20-21, Department of Economics, University of Birmingham.
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019. "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Jang, Jeewon & Kang, Jangkoo, 2019. "Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 222-247.
- Kumari, Jyoti, 2019. "Investor sentiment and stock market liquidity: Evidence from an emerging economy," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 166-180.
- Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Berger, Dave & Turtle, H.J., 2012. "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1107-1121.
- Liang, Woan-lih, 2016. "Sensitivity to investor sentiment and stock performance of open market share repurchases," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 75-94.
- Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
- Hou, Yang & Meng, Jiayin, 2018. "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper 94838, University Library of Munich, Germany.
- Aissia, Dorsaf Ben, 2016. "Home and foreign investor sentiment and the stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 71-77.
- Greenwood, Robin & Nagel, Stefan, 2009.
"Inexperienced investors and bubbles,"
Journal of Financial Economics, Elsevier, vol. 93(2), pages 239-258, August.
- Robin Greenwood & Stefan Nagel, 2008. "Inexperienced Investors and Bubbles," NBER Working Papers 14111, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K. & Oehmke, Martin, 2013.
"Bubbles, Financial Crises, and Systemic Risk,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288,
Elsevier.
- Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
- Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
- Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
- David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
- Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
- Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.
More about this item
Keywords
Investor sentiment; Bubbles; Price-correction;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:23:y:2015:i:c:p:59-74. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/finmar .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.