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dc.contributor.authorWang, Wenzhao
dc.contributor.authorDuxbury, D.
dc.date.accessioned2021-10-07T13:39:26Z
dc.date.accessioned2021-10-18T07:38:44Z
dc.date.available2021-10-07T13:39:26Z
dc.date.available2021-10-18T07:38:44Z
dc.date.issued2021-11
dc.identifier.citationWang W and Duxbury D (2021) Institutional Investor Sentiment and the Mean-Variance Relationship: Global Evidence. Journal of Economic Behavior and Organization. 191: 415-441.en_US
dc.identifier.urihttp://hdl.handle.net/10454/18620
dc.descriptionYesen_US
dc.description.abstractAlthough 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.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.jebo.2021.08.02920en_US
dc.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/)en_US
dc.subjectIndividualismen_US
dc.subjectInstitutional investor sentimenten_US
dc.subjectMarket integrityen_US
dc.subjectMean-variance relationen_US
dc.subjectOverreactionen_US
dc.subjectUncertainty avoidanceen_US
dc.titleInstitutional Investor Sentiment and the Mean-Variance Relationship: Global Evidenceen_US
dc.status.refereedYesen_US
dc.date.Accepted2021-08-22
dc.date.application2021-10-06
dc.typeArticleen_US
dc.date.EndofEmbargo2023-04-06
dc.type.versionAccepted manuscripten_US
dc.description.publicnotesThe full-text of this article will be released for public view at the end of the publisher embargo on 6 Apr 2023.en_US
dc.date.updated2021-10-07T13:39:28Z
refterms.dateFOA2021-10-18T07:39:07Z
dc.openaccess.statusGreenen_US


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