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Lookup NU author(s): Professor Darren DuxburyORCiD
This work is licensed under a Creative Commons Attribution 4.0 International License (CC BY 4.0).
Traditional finance theory posits a positive risk-return relation, but empirical evidence is inconclusive. Retail investor sentiment has long been viewed as a distorting factor, while more recently institutional investor sentiment is thought to play a role. We examine the separate and joint impacts of retail and institutional investor sentiments on the risk-return relation. We find, at both market and firm levels, the risk-return relation is more likely to be distorted by the two investor-type sentiments jointly, rather than separately. We further find a cross-sectional pattern, with the risk-return relation being more sensitive to investor sentiment for stocks with specific characteristics.
Author(s): Duxbury D, Wang W
Publication type: Article
Publication status: Published
Journal: European Financial Management
Year: 2024
Volume: 30
Issue: 1
Pages: 496-543
Print publication date: 03/01/2024
Online publication date: 13/05/2023
Acceptance date: 21/05/2022
Date deposited: 02/05/2023
ISSN (electronic): 1468-036X
Publisher: Wiley
URL: https://doi.org/10.1111/eufm.12427
DOI: 10.1111/eufm.12427
ePrints DOI: 10.57711/dfpk-wy88
Data Access Statement: The data that support the findings of this study are available on request from the corresponding author. The data are not publicly available due to privacy or ethical restrictions.
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