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The mean-variance relation and the role of institutional investor sentiment

Wang, Wenzhao
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Publication Date
2018-07
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Keywords
Institutional investor sentiment, Mean-variance relation, Risk-return tradeoff
Rights
© 2018 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
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Yes
Open Access status
openAccess
Accepted for publication
2018-04-06
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Management and Law Publications
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Abstract
This paper investigates the role of institutional investor sentiment in the mean–variance relation. We find market returns are negatively (positively) related to market’s conditional volatility over bullish (bearish) periods. The evidence indicates institutional investors to be sentiment traders as well.
URI
http://hdl.handle.net/10454/17747
Version
Accepted manuscript
Citation
Wang W (2018) The mean-variance relation and the role of institutional investor sentiment. Economics Letters. 168: 61-64.
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Link to published version
Link to Version of Record
https://doi.org/10.1016/j.econlet.2018.04.008
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Article
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