Institutional investor sentiment, beta, and stock returns

Wenzhao Wang

Finance Research Letters, 2020, vol. 37, issue C

Abstract: 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.

Keywords: Institutional investor sentiment; Beta-return relation; Capital asset pricing model (CAPM); Risk-return tradeoff; Security market line (SML) (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318303684

DOI: 10.1016/j.frl.2019.101374

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