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

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.

Identiferoai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/17747
Date09 March 2020
CreatorsWang, Wenzhao
Source SetsBradford Scholars
LanguageEnglish
Detected LanguageEnglish
TypeArticle, Accepted manuscript
Rights© 2018 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.

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