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 |
| _version_ | 1848745263511896064 |
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| author | Khuu, Joyce Durand, Robert Smales, Lee |
| author_facet | Khuu, Joyce Durand, Robert Smales, Lee |
| author_sort | Khuu, Joyce |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:14:35Z |
| format | Journal Article |
| id | curtin-20.500.11937-7081 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:14:35Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-70812019-07-15T00:35:19Z Melancholia and Japanese stock returns - 2003 to 2012 Khuu, Joyce Durand, Robert Smales, Lee 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. 2016 Journal Article http://hdl.handle.net/20.500.11937/7081 10.1016/j.pacfin.2016.05.011 Elsevier fulltext |
| spellingShingle | Khuu, Joyce Durand, Robert Smales, Lee Melancholia and Japanese stock returns - 2003 to 2012 |
| title | Melancholia and Japanese stock returns - 2003 to 2012 |
| title_full | Melancholia and Japanese stock returns - 2003 to 2012 |
| title_fullStr | Melancholia and Japanese stock returns - 2003 to 2012 |
| title_full_unstemmed | Melancholia and Japanese stock returns - 2003 to 2012 |
| title_short | Melancholia and Japanese stock returns - 2003 to 2012 |
| title_sort | melancholia and japanese stock returns - 2003 to 2012 |
| url | http://hdl.handle.net/20.500.11937/7081 |