This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results...

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...