RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS
2016 ◽
Vol 11
(03)
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pp. 1650011
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We show analytically that animal spirit excess profits for uninformed investors fall (increase) when the risk-free rate rises (falls). In the theoretical analysis, we examine the expected returns of risk-averse, short-lived investors. In addition, we find empirically that the local risk-free rates explain 14% of the changes in the animal spirit excess profits in the global stock markets for the last 29 years when the animal spirits is characterized as a product of the trend-chasing rule.
2017 ◽
Vol 12
(01)
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pp. 1750002
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2013 ◽
Vol 4
(1)
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pp. 19-30
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1996 ◽
Vol 33
(03)
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pp. 601-613
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2010 ◽
Vol 13
(01)
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pp. 93-112
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