Exploiting investor sentiment for portfolio optimization

Artikel

The information contained in investor sentiment has up to now hardly been used for portfolio optimization, although theoretical works demonstrate that it should not be neglected and it has already been shown to contain exploitable information on future returns and volatility. Employing the approach of Copula Opinion Pooling, we explore how sentiment information regarding international stock markets can be directly incorporated into the portfolio optimization procedure. We subsequently show that sentiment information can be exploited by a trading strategy that takes into account a medium-term reversal effect of sentiment on returns. This sentiment-based strategy outperforms several benchmark strategies in terms of different performance and downside risk measures. More importantly, the results remain robust to changes in the parameter specification.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Business Research ; ISSN: 2198-2627 ; Volume: 12 ; Year: 2019 ; Issue: 2 ; Pages: 671-702 ; Heidelberg: Springer

Klassifikation und Themen

• Klassifikation: Management ; Portfolio Choice; Investment Decisions ; International Financial Markets ; Financial Forecasting and Simulation
• Thema: Portfolio optimization ; Investor sentiment ; Copula opinion pooling ; Behavioral finance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Banholzer, Nicolas ; Heiden, Sebastian ; Schneller, Dominik
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg
• (wann): 2019

Weitere Informationen

• DOI: doi:10.1007/s40685-018-0062-6
• Handle: http://hdl.handle.net/10419/233129
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ