Thumbnail Image
Publication

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

Wang, Wenzhao
Publication Date
2018-07
End of Embargo
Supervisor
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.
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
06/04/2018
Institution
Department
Awarded
Embargo end date
Collections
Management and Law Publications
Show all metadata
Files
Thumbnail Image
Wang_Economics_Letters.pdf
Adobe PDF, 329.21 KB
Additional title
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.
Link to publisher’s version
Link to published version
Link to Version of Record
https://doi.org/10.1016/j.econlet.2018.04.008
Type
Article
Qualification name
Notes