Melancholia and Japanese stock returns - 2003 to 2012

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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...

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Bibliographic Details
Main Authors:	Khuu, Joyce, Durand, Robert, Smales, Lee
Format:	Journal Article
Published:	Elsevier 2016
Online Access:	http://hdl.handle.net/20.500.11937/7081

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