TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT
- Authors
- Kim, Soo-Hyun; Kang, Hyoung Goo
- Issue Date
- Dec-2015
- Publisher
- HITOTSUBASHI UNIV
- Keywords
- investor sentiment; tactical asset allocation; Korean stock market; alpha
- Citation
- HITOTSUBASHI JOURNAL OF ECONOMICS, v.56, no.2, pp.177 - 195
- Indexed
- SSCI
SCOPUS
- Journal Title
- HITOTSUBASHI JOURNAL OF ECONOMICS
- Volume
- 56
- Number
- 2
- Start Page
- 177
- End Page
- 195
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/155729
- DOI
- 10.15057/27601
- ISSN
- 0018-280X
- 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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