The mean–variance relation and the role of institutional investor sentiment
2018
Wang, Wenzhao
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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Библиографическая информация
Издатель
Springer-Verlag
Другие темы
G12; G41; Risk-return tradeoff; Mean–variance relation; Institutional investor sentiment; G14
Язык
Английский
Тип
Journal Article; Text
2024-02-28
MODS
Поставщик данных
Эту запись предоставил National Agricultural Library
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