Edinburgh Napier University

Investor sentiment and stock market returns: A story of night and day

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 s...

Investor Sentiment and the Risk‐Return Relation: A Two‐in‐One Approach

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 facto...

The conditional impact of investor sentiment in global stock markets: A two-channel examination

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 conditio...

Institutional investor sentiment and the mean-variance relationship: Global evidence

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 in...

The mean–variance relation: A 24-hour story

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 ...

Investor sentiment and stock returns: Global evidence

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 ...

Institutional investor sentiment, beta, and stock returns

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 r...

The mean–variance relation and the role of institutional investor sentiment

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 cond...

Fund performance-flow relationship and the role of institutional reform

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 p...

Investor sentiment and the mean-variance relationship: European evidence

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’ neutral...