Melancholia and Japanese stock returns - 2003 to 2012
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 o...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/7081 |