Long-term asset allocation, risk tolerance and market sentiment
| Autor: | Deniz Erdemlioglu, Robert Joliet |
|---|---|
| Přispěvatelé: | Lille économie management - LEM - UMR 9221 (LEM), Université de Lille-Université catholique de Lille (UCL)-Centre National de la Recherche Scientifique (CNRS), Université catholique de Lille (UCL)-Université de Lille-Centre National de la Recherche Scientifique (CNRS), Lille économie management - UMR 9221 (LEM), Université d'Artois (UA)-Université catholique de Lille (UCL)-Université de Lille-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Signal processing
Economics and Econometrics Investment horizons Asset allocation Fund performance [SHS]Humanities and Social Sciences Asset management Negatively associated Portfolio choice 0502 economics and business Econometrics Economics Market sentiment Macro Excess return 040101 forestry 050208 finance business.industry 05 social sciences Equity (finance) 04 agricultural and veterinary sciences 8. Economic growth 0401 agriculture forestry and fisheries Portfolio [SHS.GESTION]Humanities and Social Sciences/Business administration Investor and market sentiment business Finance |
| Zdroj: | Journal of International Financial Markets, Institutions and Money Journal of International Financial Markets, Institutions and Money, Elsevier, 2019, 62, pp.1-19. ⟨10.1016/j.intfin.2019.04.004⟩ Journal of International Financial Markets, Institutions and Money, 2019, 62, pp.1-19. ⟨10.1016/j.intfin.2019.04.004⟩ |
| ISSN: | 1042-4431 |
| DOI: | 10.1016/j.intfin.2019.04.004⟩ |
| Popis: | International audience; This paper studies optimal equity portfolios with long-term horizon under heterogeneous risk aversion levels. We focus on European stocks and empirically show that contemporaneous excess returns of semi-active strategies are negatively associated with market conditions and sentiment. Consistent with our long-horizon perspective, we find that the effects of sentiment measures on semi-active portfolio returns are sizeable and economically relevant, particularly in bull (post-crisis) periods, even after controlling for the five Fama-French factors, momentum, macro indicators and political uncertainty shocks either globally or country-wise. By contrast, the effects of sentiment measures on the passive (benchmark) portfolio appear to be negligible. The results further indicate that realized portfolio returns generated from our long-term strategies are considerably resilient to the episodes of flight-to-safety (risk-off) regimes. |
| Databáze: | OpenAIRE |
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