Departmental Bulletin Paper TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT

KIM, SOO-HYUN  ,  KANG, HYOUNG-GOO

56 ( 2 )  , pp.177 - 195 , 2015-12 , Hitotsubashi University
ISSN:0018-280x
NCID:AA00207547
Description
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.
Full-Text

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

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