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TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT

Soo-Hyun Kim & Hyoung‐Goo Kang

Hitotsubashi Journal of Economics2015https://doi.org/10.15057/27601article
ABDC B
Weight
0.41

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.

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https://doi.org/https://doi.org/10.15057/27601

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@article{soo-hyun2015,
  title        = {{TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT}},
  author       = {Soo-Hyun Kim & Hyoung‐Goo Kang},
  journal      = {Hitotsubashi Journal of Economics},
  year         = {2015},
  doi          = {https://doi.org/https://doi.org/10.15057/27601},
}

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TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.17 × 0.4 = 0.07
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.