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Institutional investor sentiment, beta, and stock returns

Wang, Wenzhao

Authors



Abstract

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.

Journal Article Type Article
Acceptance Date Nov 23, 2019
Online Publication Date Nov 25, 2019
Publication Date 2020-11
Deposit Date Mar 9, 2022
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 37
Article Number 101374
DOI https://doi.org/10.1016/j.frl.2019.101374
Keywords Institutional investor sentiment, Beta-return relation, Capital asset pricing model (CAPM), Risk-return tradeoff, Security market line (SML)
Public URL http://researchrepository.napier.ac.uk/Output/2851221