Discuss the empirical designs in (i) Yu and Yuan (2011)

Discuss the empirical designs in (i) Yu and Yuan (2011) and Wang (2018a), and
(ii) Wang (2018b) and Wang and Duxbury (2021)
[20 marks]
Critically review literature, and summarise and evaluate approaches to construct
proxies for investor sentiment.
[12 marks]
Suppose that you decide to extend Wang (2021) to another developed market.
Select the market and justify your selection.
[8 marks]
For the selected market, show present and interpret descriptive statistics of stock
returns for the whole sample period, along with high- and low-sentiment periods.
[15 marks]
Use the rolling window method to filter conditional volatility. Present and
interpret descriptive statistics of conditional volatility for the whole sample
period, along with high- and low-sentiment periods.
[20 marks]
Examine the mean-variance relation for the whole sample period, along with
high- and low-sentiment periods. Interpret.
[25 marks]

While attempting requirements you should follow academic writing style format relying

on journal articles. Failing to do so leads to a 30-mark deduction.