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

Wang, Wenzhao

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.

Citation

Wang, W. (2018). The mean–variance relation and the role of institutional investor sentiment. Economics Letters, 168, 61-64. https://doi.org/10.1016/j.econlet.2018.04.008

• Journal Article Type: Article
• Acceptance Date: Apr 6, 2018
• Online Publication Date: Apr 13, 2018
• Publication Date: 2018-07
• Deposit Date: Mar 9, 2022
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 168
• Pages: 61-64
• DOI: https://doi.org/10.1016/j.econlet.2018.04.008
• Keywords: Institutional investor sentiment, Mean–variance relation, Risk-return tradeoff
• Public URL: http://researchrepository.napier.ac.uk/Output/2851218