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

Wenzhao Wang

Economics Letters, 2018, vol. 168, issue C, 61-64

Abstract: 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.

Keywords: Institutional investor sentiment; Mean–variance relation; Risk-return tradeoff (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:168:y:2018:i:c:p:61-64

DOI: 10.1016/j.econlet.2018.04.008

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