Sheu, Her-Jiun; Lu, Yang-Cheng; Wei, Yu-Chen - In: The International Journal of Business and Finance Research 4 (2010) 1, pp. 159-171
This paper investigates the causal relationships between sentiment and returns under different market scenarios. In contrast to previous studies that subjectively identify the bullish and bearish markets, we apply a threshold model to detect the extreme level of investors’ sentiment...