Outputs (11)

Investor sentiment and stock market returns: A story of night and day (2024)
Journal Article
Wang, W. (in press). Investor sentiment and stock market returns: A story of night and day. European Journal of Finance, https://doi.org/10.1080/1351847X.2024.2306942

Some financial relations have been confirmed to be different overnight and intraday due to different clienteles. In this paper, we assess the impact of investor sentiment on stock market returns in 30 international stock markets overnight and intrada... Read More about Investor sentiment and stock market returns: A story of night and day.

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.

The conditional impact of investor sentiment in global stock markets: A two-channel examination (2022)
Journal Article
Wang, W., Su, C., & Duxbury, D. (2022). The conditional impact of investor sentiment in global stock markets: A two-channel examination. Journal of Banking and Finance, 138, Article 106458. https://doi.org/10.1016/j.jbankfin.2022.106458

While investor sentiment has been shown to have a robust, direct impact on stock returns, we know little about how it impacts returns through an indirect channel from conditional volatility. We conduct a global study of investor sentiment across 40 i... Read More about The conditional impact of investor sentiment in global stock markets: A two-channel examination.

Institutional investor sentiment and the mean-variance relationship: Global evidence (2021)
Journal Article
Wang, W., & Duxbury, D. (2021). Institutional investor sentiment and the mean-variance relationship: Global evidence. Journal of Economic Behavior and Organization, 191, 415-441. https://doi.org/10.1016/j.jebo.2021.08.029

Although a cornerstone of traditional finance theory, empirical evidence in support of a positive mean-variance relation is far from conclusive, with the behavior of retail investors commonly thought to be one of the root causes of departures from th... Read More about Institutional investor sentiment and the mean-variance relationship: Global evidence.

The mean–variance relation: A 24-hour story (2021)
Journal Article
Wang, W. (2021). The mean–variance relation: A 24-hour story. Economics Letters, 208, https://doi.org/10.1016/j.econlet.2021.110053

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... Read More about The mean–variance relation: A 24-hour story.

Investor sentiment and stock returns: Global evidence (2021)
Journal Article
Wang, W., Su, C., & Duxbury, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. https://doi.org/10.1016/j.jempfin.2021.07.010

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 a... Read More about Investor sentiment and stock returns: Global evidence.

Institutional investor sentiment, beta, and stock returns (2019)
Journal Article
Wang, W. (2020). Institutional investor sentiment, beta, and stock returns. Finance Research Letters, 37, https://doi.org/10.1016/j.frl.2019.101374

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 investo... Read More about Institutional investor sentiment, beta, and stock returns.

The mean–variance relation and the role of institutional investor sentiment (2018)
Journal Article
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

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 i... Read More about The mean–variance relation and the role of institutional investor sentiment.

Fund performance-flow relationship and the role of institutional reform (2018)
Journal Article
Feng, J., & Wang, W. (2018). Fund performance-flow relationship and the role of institutional reform. Investment Management and Financial Innovations, 15(1), 311-327. https://doi.org/10.21511/imfi.15%281%29.2018.26

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 a... Read More about Fund performance-flow relationship and the role of institutional reform.

Investor sentiment and the mean-variance relationship: European evidence (2018)
Journal Article
Wang, W. (2018). Investor sentiment and the mean-variance relationship: European evidence. Research in International Business and Finance, 46, 227-239. https://doi.org/10.1016/j.ribaf.2018.02.006

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 i... Read More about Investor sentiment and the mean-variance relationship: European evidence.