Long-term asset allocation, risk tolerance ...
Type de document :
Article dans une revue scientifique
Titre :
Long-term asset allocation, risk tolerance and market sentiment
Auteur(s) :
Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Joliet, Robert [Auteur]
Lille économie management - UMR 9221 [LEM]
Lille économie management - UMR 9221 [LEM]
Joliet, Robert [Auteur]

Lille économie management - UMR 9221 [LEM]
Titre de la revue :
Journal of International Financial Markets, Institutions and Money
Pagination :
1-19
Éditeur :
Elsevier
Date de publication :
2019-09
ISSN :
1042-4431
Mot(s)-clé(s) en anglais :
Asset management
Portfolio choice
Investment horizons
Investor and market sentiment
Fund performance
Signal processing
Portfolio choice
Investment horizons
Investor and market sentiment
Fund performance
Signal processing
Discipline(s) HAL :
Sciences de l'Homme et Société
Sciences de l'Homme et Société/Gestion et management
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >
Lire la suite >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.Lire moins >
Langue :
Anglais
Comité de lecture :
Oui
Audience :
Internationale
Vulgarisation :
Non
Collections :
Source :
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