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

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    Wang_Economics_Letters.pdf (329.2Kb)
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    Publication date
    2018-07
    Author
    Wang, Wenzhao
    Keyword
    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
    
    Metadata
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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.
    Link to publisher’s version
    https://doi.org/10.1016/j.econlet.2018.04.008
    Type
    Article
    Collections
    Management and Law Publications

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