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https://ir.library.oregonstate.edu/concern/articles/5q47rq977

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Abstract
  • We examine cumulative changes in investor sentiment and find that these changes relate to extended periods of increasing overvaluation, followed by price corrections. The relation between sentiment and returns is path dependent — short-term increases in sentiment precede strong positive returns, while prolonged periods of increasing sentiment precede negative returns. Positive short-run returns are consistent with bubble dynamics and mitigate the backwards induction conundrum described by Abreu and Brunnermeier (2003). Our results hold for the market portfolio, and are especially strong for opaque portfolios with high levels of uncertainty, as well as portfolios with greater market frictions that limit arbitrage.
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  • Berger, D., & Turtle, H. J. (2015). Sentiment bubbles. Journal of Financial Markets, 23, 59-74. doi:10.1016/j.finmar.2015.01.002
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  • 23
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  • Berger thanks the Oregon State University College of Business for a summer research grant supporting this project.
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  • description.provenance : Submitted by Deanne Bruner (deanne.bruner@oregonstate.edu) on 2015-11-02T23:35:47Z No. of bitstreams: 1 BergerDavidBusinessSentimentBubbles.pdf: 677906 bytes, checksum: 0b8050eb6045305a47586e31a36f9bbb (MD5)
  • description.provenance : Approved for entry into archive by Deanne Bruner(deanne.bruner@oregonstate.edu) on 2015-11-02T23:36:24Z (GMT) No. of bitstreams: 1 BergerDavidBusinessSentimentBubbles.pdf: 677906 bytes, checksum: 0b8050eb6045305a47586e31a36f9bbb (MD5)
  • description.provenance : Made available in DSpace on 2015-11-02T23:36:24Z (GMT). No. of bitstreams: 1 BergerDavidBusinessSentimentBubbles.pdf: 677906 bytes, checksum: 0b8050eb6045305a47586e31a36f9bbb (MD5) Previous issue date: 2015-03
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  • 2017-07-27 to 2018-02-13

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