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Individual mean-variance relation and stock-level investor sentiment
The Journal of Business Economics and Management
View Archive Info| Field | Value | |
| Title |
Individual mean-variance relation and stock-level investor sentiment
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| Creator |
Kim, Jun Sik
Kim, Da-Hea Seo, Sung Won |
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| Subject |
investor sentiment
mean-variance relation risk-return trade-off conditional variance buy-sell imbalance individual stock markets |
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| Description |
This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of a strong riskreturn trade-off among stocks with low retail concentration (e.g., large capitalization, high-priced, and growth stocks). Existing research only analyzes market-wide investor sentiment. However, we study the effect of stock-level investor sentiment on individual stock returns. Therefore, our findings suggest novel implications about the investment strategy that the stock-level investor sentiment is important when constructing portfolios based on variance.
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| Publisher |
VGTU Press Technika
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| Date |
2017-02-05
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journals.vgtu.lt/index.php/JBEM/article/view/751
10.3846/16111699.2016.1252794 |
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| Source |
Journal of Business Economics and Management; Vol 18 No 1 (2017); 20-34
2029-4433 1611-1699 |
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| Language |
eng
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| Relation |
https://journals.vgtu.lt/index.php/JBEM/article/view/751/555
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