Anger, sadness and bear markets

Robert Durand, M. Simon, A. Szimayer

Research output: Contribution to journalArticle

6 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)357-369
JournalApplied Financial Economics
Volume19
Issue number5
DOIs
Publication statusPublished - 2009

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