Mean-variance relation
: a sentimental affair

  • Rui Miguel Silva Ascenso dos Santos (Student)

Student thesis: Master's Thesis


This work documents the role investor sentiment plays on the market’s mean-variance tradeoff. We find that, during high-sentiment periods, investor sentiment undermines an otherwise positive mean-variance tradeoff. In low-sentiment periods, the common understanding holds that investors should obtain a compensation for bearing variance risk. These findings are robust to different stock return indices, variances estimates and sentiment measures. We also provide international evidence for five other countries and point out a possible leading role for U.S. sentiment.
Date of Award4 Nov 2015
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJosé Faias (Supervisor)


  • Mestrado em Finanças

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