When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?
“These strategies seem to systematically exploit investor over-reaction and are `active alpha' strategies with low betas and high alphas, in contrast to business cycle based strategies which are effectively `index-trackers' with high betas and considerably lower alphas.”
AssetMulti-asset
StrategyMacro signalsmomentum
ClaimAlpha
InputsMacrotext and news
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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