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    Institutional Investor Sentiment and the Mean-Variance Relationship: Global Evidence

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    Publication date
    2021-11
    End of Embargo
    2023-04-06
    Author
    Wang, Wenzhao
    Duxbury, D.
    Keyword
    Individualism
    Institutional investor sentiment
    Market integrity
    Mean-variance relation
    Overreaction
    Uncertainty avoidance
    Rights
    © 2021 Elsevier. 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 (https://creativecommons.org/licenses/by-nc-nd/4.0/)
    Peer-Reviewed
    Yes
    Open Access status
    Green
    
    Metadata
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    Abstract
    Although a cornerstone of traditional finance theory, empirical evidence in support of a positive mean-variance relation is far from conclusive, with the behavior of retail investors commonly thought to be one of the root causes of departures from this expected relationship. The behavior of institutional investors, conventionally thought to be sophisticated and rational, has recently come under closer scrutiny, including in relation to investor sentiment. Drawing together these two strands of literature, this paper examines the impact of institutional investor sentiment on the mean-variance relation in six regions, including Asia (excl. Japan), Eastern Europe, Eurozone, Japan, Latin America, and the US, and across thirtyeight markets. Empirical evidence supports the differential impact of institutional investor sentiment on the mean-variance relation (i.e., positive or negative), both across regions and across markets. In particular, for markets with cultural proneness to overreaction and a low level of market integrity institutional investor sentiment tends to distort the risk-return tradeoff.
    URI
    http://hdl.handle.net/10454/18620
    Version
    Accepted manuscript
    Citation
    Wang W and Duxbury D (2021) Institutional Investor Sentiment and the Mean-Variance Relationship: Global Evidence. Journal of Economic Behavior and Organization. 191: 415-441.
    Link to publisher’s version
    https://doi.org/10.1016/j.jebo.2021.08.02920
    Type
    Article
    Notes
    The full-text of this article will be released for public view at the end of the publisher embargo on 6 Apr 2023.
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    Management and Law Publications

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