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]

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

Discipline(s) HAL :

Sciences de l'Homme et Société
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 >

Langue :

Anglais

Comité de lecture :

Oui

Audience :

Internationale

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL