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Institutional investor sentiment, beta, and stock returns

Wang, Wenzhao
Publication Date
2020-11
End of Embargo
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Keywords
Institutional investor sentiment, Beta-return relation, Capital asset pricing model (CAPM), Risk-return tradeoff, Security market line (SML)
Rights
© 2019 Elsevier Inc. 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
23/11/2019
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Department
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Management and Law Publications
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Abstract
This paper examines the role of institutional investor sentiment in determination of the beta-return relation. Empirical evidence documents a positive (negative) beta-return relation over bearish (bullish) periods, implying that institutional investors can also be sentiment traders.
URI
http://hdl.handle.net/10454/17748
Version
Accepted manuscript
Citation
Wang W (2020) Institutional investor sentiment, beta, and stock returns. Finance Research Letters. 37: 101374.
Link to publisher’s version
Link to published version
Link to Version of Record
https://doi.org/10.1016/j.frl.2019.101374
Type
Article
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