Institutional investor sentiment, beta, and stock returns

Wang, Wenzhao

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.

Citation

Wang, W. (2020). Institutional investor sentiment, beta, and stock returns. Finance Research Letters, 37, Article 101374. https://doi.org/10.1016/j.frl.2019.101374

• 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