Investor sentiment and the mean-variance relation

• 成果类型: Article
• 署名作者: Yu, Jianfeng; Yuan, Yu
• 署名单位: University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities; University of Iowa
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.10.011
• 发表日期: 2011
• 页码: 367-381
• 关键词: Investor sentiment; Mean-variance relation; Risk-return tradeoff; volatility

摘要

This study shows the influence of investor sentiment on the market's mean-variance tradeoff. We find that the stock market's expected excess return is positively related to the market's conditional variance in low-sentiment periods but unrelated to variance in high-sentiment periods. These findings are consistent with sentiment traders who, during the high-sentiment periods, undermine an otherwise positive mean-variance tradeoff. We also find that the negative correlation between returns and contemporaneous volatility innovations is much stronger in the low-sentiment periods. The latter result is consistent with the stronger positive ex ante relation during such periods. (C) 2010 Elsevier B.V. All rights reserved.