Title :

Long-term asset allocation, risk tolerance and market sentiment

Author(s) :

Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Joliet, Robert [Auteur]
Lille économie management - UMR 9221 [LEM]

Journal title :

Journal of International Financial Markets, Institutions and Money

Pages :

1-19

Publisher :

Elsevier

Publication date :

2019-09

ISSN :

1042-4431

English keyword(s) :

Asset management
Portfolio choice
Investment horizons
Investor and market sentiment
Fund performance
Signal processing

HAL domain(s) :

Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL