All Outputs (2)

The mean-variance relation: A story of night and day (2023)
Journal Article
Wang, W. (2023). The mean-variance relation: A story of night and day. Journal of International Financial Markets, Institutions and Money, 86, Article 101796. https://doi.org/10.1016/j.intfin.2023.101796

The traditional financial framework theorizes a positive mean-variance relation, which, however, is not fully supported by empirical evidence. We provide a new explanation for the weak mean-variance relation by separately testing the relation overnig... Read More about The mean-variance relation: A story of night and day.

Investor Sentiment and the Risk‐Return Relation: A Two‐in‐One Approach (2023)
Journal Article
Duxbury, D., & Wang, W. (2024). Investor Sentiment and the Risk‐Return Relation: A Two‐in‐One Approach. European Financial Management, 30(1), Article 496-543. https://doi.org/10.1111/eufm.12427

Traditional finance theory posits a positive risk–return relation, but empirical evidence is inconclusive. Retail investor sentiment has long been viewed as a distorting factor, while more recently institutional investor sentiment is thought to play... Read More about Investor Sentiment and the Risk‐Return Relation: A Two‐in‐One Approach.