Investor sentiment and the mean-variance relationship: European evidence
dc.contributor.author | Wang, Wenzhao | |
dc.date.accessioned | 2020-03-09T15:49:03Z | |
dc.date.accessioned | 2020-04-08T14:09:32Z | |
dc.date.available | 2020-03-09T15:49:03Z | |
dc.date.available | 2020-04-08T14:09:32Z | |
dc.date.issued | 2018-12 | |
dc.identifier.citation | Wang W (2018) Investor sentiment and the mean-variance relationship: European evidence. Research in International Business and Finance. 46: 227-239. | en_US |
dc.identifier.uri | http://hdl.handle.net/10454/17746 | |
dc.description | Yes | |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.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. | |
dc.subject | Investor sentiment | |
dc.subject | Mean-variance relationship | |
dc.subject | Risk-return tradeoff | |
dc.subject | Volatility | |
dc.title | Investor sentiment and the mean-variance relationship: European evidence | en_US |
dc.status.refereed | Yes | |
dc.date.application | 03/03/2018 | |
dc.type | Article | |
dc.type.version | Accepted manuscript | |
dc.identifier.doi | https://doi.org/10.1016/j.ribaf.2018.02.006 | |
dc.date.updated | 2020-03-09T15:49:03Z | |
refterms.dateFOA | 2020-04-15T14:39:41Z | |
dc.openaccess.status | openAccess | |
dc.date.accepted | 27/02/2018 |