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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
Vol. 64, no. 2(Dec. 2023)
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Number of Access this item:
1,334
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2024-05-19
22:06 Counts
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Identifier to cite or link to this item: https://doi.org/10.15057/27601
Identifier to cite or link to this item: https://hdl.handle.net/10086/27601
Link to primary information
File
Format
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Description
cover_27601
pdf
HJeco0560201770
pdf
799 KB
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Item Information
Output File
Title
TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT
Creator
Creator Name
KIM, SOO-HYUN
KIM, SOO-HYUN
Affiliation
Affiliation Name
Soongsil University
Creator Name
KANG, HYOUNG-GOO
KANG, HYOUNG-GOO
Affiliation
Affiliation Name
Hanyang University School of Business
Key Word
investor sentiment
tactical asset allocation
Korean stock market
alpha
JEL
G02
G11
G12
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.
Publisher
Hitotsubashi University
Issued Date
2015-12
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/27601
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
56
Issue Number
2
Page Start
177
Page End
195
Appears in Collections
Vol. 56, no. 2 (Dec. 2015)
URL
https://hdl.handle.net/10086/27601
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