紀要論文 TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT

KIM, SOO-HYUN  ,  KANG, HYOUNG-GOO

56 ( 2 )  , pp.177 - 195 , 2015-12 , Hitotsubashi University
ISSN:0018-280x
NII書誌ID(NCID):AA00207547
内容記述
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.
本文を読む

http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/27601/1/HJeco0560201770.pdf

このアイテムのアクセス数:  回

その他の情報