Outputs (3)

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.