Toggle Main Menu Toggle Search

Open Access padlockePrints

Investor Sentiment and the Risk-Return Relation: A Two-in-One Approach

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.

Publication metadata

Author(s): Duxbury D, Wang W

Publication type: Article

Publication status: Published

Journal: European Financial Management

Year: 2023

Pages: epub ahead of print

Online publication date: 13/05/2023

Acceptance date: 21/05/2022

Date deposited: 02/05/2023

ISSN (electronic): 1468-036X

Publisher: Wiley


DOI: 10.1111/eufm.12427

ePrints DOI: 10.57711/dfpk-wy88


Altmetrics provided by Altmetric