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    Investor sentiment and the mean-variance relationship: European evidence

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    Publication date
    2018-12
    Author
    Wang, Wenzhao
    Keyword
    Investor sentiment
    Mean-variance relationship
    Risk-return tradeoff
    Volatility
    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
    
    Metadata
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    Abstract
    This paper investigates the impact of investor sentiment on the mean-variance relationship in 14 European stock markets. Applying three approaches to define investors’ neutrality and determine high and low sentiment periods, we find that individual investors’ increased presence and trading over high-sentiment periods would undermine the risk-return tradeoff. More importantly, we report that investors’ optimism (pessimism) is more determined by their normal sentiment state, represented by the all-period average sentiment level, rather than the neutrality value set in sentiment surveys.
    URI
    http://hdl.handle.net/10454/17746
    Version
    Accepted Manuscript
    Citation
    Wang W (2018) Investor sentiment and the mean-variance relationship: European evidence. Research in International Business and Finance. 46: 227-239.
    Link to publisher’s version
    https://doi.org/10.1016/j.ribaf.2018.02.006
    Type
    Article
    Collections
    Management and Law Publications

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