Investor Sentiment and the Mean-Variance Relation

By Jianfeng Yu, Yu Yuan. 2011

617 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e13c6581279d884963e22edd449591e41eb15011

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Citations in the corpus

The short of it (2012, positive): “Another related study is Yu and Yuan (2010), who show that the correlation between the market’s expected return and its conditional volatility is positive during low-sentiment periods and nearly ﬂat during high-sentiment periods.”
Investor Attention and Stock Returns (2020, positive): “We employ the investor sentiment index of Baker and Wurgler (2006) (SBW), which has been widely used by the literature, such as Baker and Wurgler (2007), Yu and Yuan (2011), Baker, Wurgler and Yuan (2012), Stambaugh, Yu, and Yuan (2012), and others.”
Overnight Returns and Firm-Specific Investor Sentiment (2018, background): “…Mergenthaler (2012), Gao and Suss (2015), Huang, Jiang, Tu, and Zhou (2015), Lee, Shleifer, and Thaler (1991), Lemmon and Portniaguina (2006), Ljungqvist, Nanda, and Singh (2006), Neal and Wheatley (1998), Qui and Welch (2004), Ritter (1991), Stambaugh, Yu, and Yuan (2012), and Yu and Yuan (2011).”
Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment (2009, positive): “Yu and Yuan (2007) also find that irrationality is more”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “For example, Merton (1987); Hirshleifer and Teoh (2003); and Hirshleifer, Lim, and Teoh (2009), among others, show that investor attention is a limited cognitive resource, so prices do not fully and immediately reflect relevant public information.”
Public Sentiment and the Price of Corporate Sustainability (2020, positive): “Prior literature provides the basis for a connection between investor sentiment and the pricing of securities (Baker and Wurgler 2006; Stambaugh et al. 2012; Yu and Yuan 2011).”
Googling Investor Sentiment around the World (2019, neutral): “…Das and Chen (2007), Edmans, Garcia, and Norli (2007), Tetlock (2007), Barber, Odean, and Zhu (2009), Kaplanski and Levy (2010), Hwang (2011), Yu and Yuan (2011), Baker et al. (2012), Stambaugh et al. (2012), (2014), Huang et al. (2015), Da et al. (2015), Sibley et al. (2016), and Soo…”
Investor sentiment and the MAX effect (2014, background): “Yu and Yuan (2011) find that trading by sentiment investors during high sentiment periods undermines the mean-variance relation for the market portfolio.”
Does investor sentiment predict the asset volatility? Evidence from emerging stock market India (2015, neutral): “The recent empirical evidence shows that investor sentiment influences the expected stock returns and mean–variance relation of stock returns (e.g. Baker and Wurgler, 2006, 2007, Yu and Yuan, 2011).”