Research Output
Institutional investor sentiment, beta, and stock returns
  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.

  • Type:

    Article

  • Date:

    25 November 2019

  • Publication Status:

    Published

  • Publisher

    Elsevier BV

  • DOI:

    10.1016/j.frl.2019.101374

  • Cross Ref:

    10.1016/j.frl.2019.101374

  • ISSN:

    1544-6123

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

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

Authors

Keywords

Institutional investor sentiment, Beta-return relation, Capital asset pricing model (CAPM), Risk-return tradeoff, Security market line (SML)

Monthly Views:

Available Documents