Investor sentiment and the risk–return relation: A two‐in‐one approach
研究了散户和机构投资者情绪对风险收益关系的单独和联合影响，发现两者联合扭曲该关系，且对特定特征股票更敏感。
Abstract 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.