Sentiment bubbles

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

Descriptions

Attribute Name	Values
Creator	Berger, David Turtle, Harry J.
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. Keywords: Bubbles, Investor sentiment, Price-correction
Resource Type	Article
DOI	https://doi.org/10.1016/j.finmar.2015.01.002
Fecha de Emisión	2015-03
Citation	Berger, D., & Turtle, H. J. (2015). Sentiment bubbles. Journal of Financial Markets, 23, 59-74. doi:10.1016/j.finmar.2015.01.002
Journal Title	Journal of Financial Markets
Journal Volume	23
Declaración de derechos	Copyright Not Evaluated
Funding Statement (additional comments about funding)	Berger thanks the Oregon State University College of Business for a summer research grant supporting this project.
Publisher	Elsevier
Peer Reviewed	Yes
Language	English [eng]
Replaces	http://hdl.handle.net/1957/57648
Embargo date range	2017-07-27 to 2018-02-13