Anger, sadness and bear markets

Robert Durand, Marta Simon and Alex Szimayer

Applied Financial Economics, 2009, vol. 19, issue 5, 357-369

Abstract: Can an understanding of mood help us understand aspects of systematic risk, volume and portfolios' exposure to systematic risk during bear-market regimes? We hypothesize that bear markets are associated with negative emotions: either a low-arousal negative state (e.g. sadness and depression) or a high-arousal negative state (e.g. anger and stress). We define a bear market as a stock market regime where the average return is statistically significantly lower than zero and find evidence that the bear market of November 1987 to February 1988 behaved as if it was associated with a pervasive low-arousal negative state amongst investors.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100801964362 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:19:y:2009:i:5:p:357-369

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100801964362

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().