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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书目信息
出版者
Springer-Verlag
其它主题
G12; G41; Risk-return tradeoff; Mean–variance relation; Institutional investor sentiment; G14
语言
英语
类型
Journal Article; Text
2024-02-28
MODS