Journal
ECONOMICS LETTERS
Volume 136, Issue -, Pages 129-132Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2015.09.021
Keywords
Generalized impulse response analysis; Factor premium; VIX; Wild bootstrap
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We report new evidence that factor premia have strong dynamic effects on a range of sentiment measures, while the reverse effect is weak and only contemporaneous. Our analysis takes explicit account of endogeneity of sentiment measures to factor premia, and adopts statistical inference robust to non-normality and heteroscedasticity, which are largely neglected in the previous studies. (C) 2015 Elsevier B.V. All rights reserved.
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