Institutional investor sentiment and the mean-variance relationship: Global evidence

2021 ◽  
Vol 191 ◽  
pp. 415-441
Author(s):  
Wenzhao Wang ◽  
Darren Duxbury
Keyword(s):  
Investor Sentiment ◽  
Institutional Investor ◽  
The Mean ◽  
Mean Variance ◽  
Global Evidence

scholarly journals Mean–variance relationship and uncertainty

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jun Sik Kim
Keyword(s):  
Positive Relationship ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Conditional Variance ◽  
Uncertainty Factor ◽  
The Mean ◽  
The Impact ◽  
Mean Variance ◽  
Low Uncertainty ◽  
High Uncertainty

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our empirical evidence is consistent with investors' attitudes toward uncertainty and risk, firms' fundamentals and leverage effects varying with uncertainty. Additionally, we discover that the negative relationship between returns and contemporaneous innovations of conditional variance and the positive relationship between returns and contemporaneous innovations of implied variance are significant during low uncertainty periods. Furthermore, our results are robust to changing the base assets to mimic the uncertainty factor and removing the effect of investor sentiment.

scholarly journals Investor sentiment and the mean–variance relation☆

2011 ◽  
Vol 100 (2) ◽  
pp. 367-381 ◽  
Author(s):  
Jianfeng Yu ◽  
Yu Yuan
Keyword(s):  
Investor Sentiment ◽  
The Mean ◽  
Mean Variance

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

2013 ◽  
Vol 20 (5) ◽  
pp. 415-449 ◽  
Author(s):  
S. T. Tse ◽  
P. A. Forsyth ◽  
J. S. Kennedy ◽  
H. Windcliff
Keyword(s):  
Quadratic Variation ◽  
Trading Strategies ◽  
Optimal Trading ◽  
The Mean ◽  
Mean Variance
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