Spelling suggestions: "subject:"cnstitutional investor sentiment"" "subject:"constitutional investor sentiment""
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The mean-variance relation and the role of institutional investor sentimentWang, Wenzhao 09 March 2020 (has links)
Yes / 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.
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Institutional Investor Sentiment and the Mean-Variance Relationship: Global EvidenceWang, Wenzhao, Duxbury, D. 07 October 2021 (has links)
Yes / 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 this expected relationship.
The behavior of institutional investors, conventionally thought to be sophisticated and
rational, has recently come under closer scrutiny, including in relation to investor sentiment.
Drawing together these two strands of literature, this paper examines the impact of
institutional investor sentiment on the mean-variance relation in six regions, including Asia
(excl. Japan), Eastern Europe, Eurozone, Japan, Latin America, and the US, and across thirtyeight markets. Empirical evidence supports the differential impact of institutional investor
sentiment on the mean-variance relation (i.e., positive or negative), both across regions and
across markets. In particular, for markets with cultural proneness to overreaction and a low
level of market integrity institutional investor sentiment tends to distort the risk-return
tradeoff.
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Institutional investor sentiment, beta, and stock returnsWang, Wenzhao 09 March 2020 (has links)
Yes / 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.
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