文章基本信息

标题：TACTICAL ASSET ALLOCATION USING INVESTORS' SENTIMENT
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作者：KIM, SOO-HYUN ; KANG, HYOUNG-GOO
期刊名称：Hitotsubashi Journal of Economics
印刷版ISSN：0018-280X
出版年度：2015
卷号：56
期号：2
页码：177-195
出版社：Maruzen Company Ltd
摘要：We extend investor sentiment literature and apply it to tactical portfolio allocation in the Korean stock market. We first construct aKorean 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.
关键词：investor sentiment; tactical asset allocation; Korean stock market; alpha