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TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT

Title
TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT
Author
강형구
Keywords
investor sentiment; tactical asset allocation; Korean stock market; alpha
Issue Date
2015-12
Publisher
HITOTSUBASHI ACAD
Citation
HITOTSUBASHI JOURNAL OF ECONOMICS, v. 56, NO 2, Page. 177-195
Abstract
We extend investor sentiment literature and apply it to tactical portfolio allocation in the Korean stock market. We first construct a Korean investors' sentiment index by considering prior literature and expert opinions. Second, we investigate whether the index can predict both time series and cross sectional variations of stock returns. Third, we attempt tactical asset allocation using the index. Our sentiment index predicts both time series and cross sectional variations of stock returns. In addition, the tactical asset allocation generates significant excess return after adjusting risks and transaction costs.
URI
http://hermes-ir.lib.hit-u.ac.jp/rs/handle/10086/27601http://hdl.handle.net/20.500.11754/30236
ISSN
0018-280X
DOI
10.15057/27601
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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