Research Output
The mean–variance relation and the role of institutional investor sentiment
  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 institutional investors to be sentiment traders as well.

  • Type:

    Article

  • Date:

    13 April 2018

  • Publication Status:

    Published

  • Publisher

    Elsevier BV

  • DOI:

    10.1016/j.econlet.2018.04.008

  • Cross Ref:

    10.1016/j.econlet.2018.04.008

  • ISSN:

    0165-1765

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

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

Authors

Keywords

Institutional investor sentiment, Mean–variance relation, Risk-return tradeoff

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