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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