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 half-life is used to estimate the adjustment speed of a variable to a new equilibrium point after being affected by the impulse response of a unit of shocks. The paper examines the adjustment speed of COVID19, investor sentiment, and the stock market through half-life estimates over the...