• Fund performance-flow relationship and the role of institutional reform

      Feng, J.; Wang, Wenzhao (2018-03)
      Extant literature shows the positive impact of institutional development on investor rationality and market efficiency. The authors extend this evidence by investigating the performance-flow relationship in the Chinese mutual fund market before and after the enforcement of the revised Law of the People’s Republic of China on Securities Investment Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers before institutional reform, but gradually become rational and less obsessed with star-chasing behaviors after reform. Moving one percentile upward in the relative performance among the star funds is associated with money inflows by 0.532% after reform, much lower than 1.433% before reform. The findings confirm the positive influence of institutional development on investor rationality and market efficiency. The successful experience can be borrowed by other emerging markets with less developed institutions.
    • Institutional Investor Sentiment and the Mean-Variance Relationship: Global Evidence

      Wang, Wenzhao; Duxbury, D. (2021-11)
      I’m just writing to give you some information around the SAGE Premier Jisc Read and Publish agreement renewal for 2022. I’ve detailed some information below for 2022 on title changes, pricing and the renewal/opt-out process and to update you on the success we’ve seen with the OA aspect of the Jisc deal. The key points are: · 6.5% relief on 2021 prices due to Covid-19 is being maintained for 2022 so the total fee is not reverting to the pre-covid 2022 pricing this year. 2022 Fee (original) Covid-19 relief To pay for 2022 £80704 £5032 £75672 · No action is needed to renew for 2022, under the Jisc agreement. The price above will be automatically applied. · If you don’t want to be invoiced for 2022 you need to submit an opt-out to via the Jisc Helpdesk. by 30th November. · If you have any queries about VAT, you’ll need to contact the JISC Helpdesk due to the way the agreement is licensed. We are now three quarters of the way through the second year of the transformational Open Access agreement for Jisc members in the UK. We’ve continued to learn from members’ feedback and experiences as well as the data, so again, massive thank you to Jisc as well as the members for all the feedback, efforts and engagement over the last year. Increasing Open Access success: To date over 4500 articles from authors at English and Scottish universities have been made Open Access at no cost to the author under this agreement, saving UK universities funders and authors around £9.9million compared to paying for hybrid OA publishing. as well as over 300 articles published in a gold OA journal with a discounted APC. University of Bradford’s metrics are given below (1st Jan 2020 – 30th June 2021), we do expect the numbers to continue to rise. Published OA (Hybrid) Published Subscription APCs Waived Published OA (Gold) In Progress Total 2020 2021 (1/2 year) 2020 2021 (1/2 year) 2020 2021 (1/2 year) 2020 2021 (1/2 year) 2021 2020-2021 4 1 0 0 8800 2200 1 0 0 6 Title changes: Due to some last minute late changes to some society journals (society contracts so late changes aren’t under our absolute control), the final lists are still being completed, I’ll send these on in a separate email as soon as we have them finalised Renewal/Opt-Out Process: Your pricing has been confirmed at the reduced rate and passed to Jisc for 2022. Institutions wishing to opt-out for 2022 must place a cancellation order via the Jisc Helpdesk. no later than the 30th of November as detailed in the offer and 2020-2022 agreement. If you are renewing, there is no need to take any action. Any institutions who have not opted out via the Jisc website by the 30th of November will be invoiced by Jisc during December and access will continue uninterrupted through the new year.
    • Institutional investor sentiment, beta, and stock returns

      Wang, Wenzhao (2020-11)
      This paper examines the role of institutional investor sentiment in determination of the beta-return relation. Empirical evidence documents a positive (negative) beta-return relation over bearish (bullish) periods, implying that institutional investors can also be sentiment traders.
    • Investor Sentiment and Stock Returns: Global Evidence

      Wang, Wenzhao; Su, C.; Duxberry, D. (2021-09)
      We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the negative pattern, investor sentiment has a more instant impact in emerging markets, but a more enduring impact in developed markets. Individual stock markets reveal heterogeneity in the sentiment-return relationship. This heterogeneity can be explained by cross-market differences in culture and institutions, along with intelligence and education, to varying degrees influenced by the extent of individual investor market participation.
    • Investor sentiment and the mean-variance relationship: European evidence

      Wang, Wenzhao (2018-12)
      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.
    • The mean-variance relation and the role of institutional investor sentiment

      Wang, Wenzhao (2018-07)
      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.
    • The mean–variance relation: A 24-hour story

      Wang, Wenzhao (2021-11)
      This paper investigates the mean-variance relation during different time periods within trading days. We reveal that there is a positive mean-variance relation when the stock market is closed (i.e., overnight), but the positive relation is distorted when the market is open (i.e., intraday). The evidence offers a new explanation for the weak risk-return tradeoff in stock markets.