Investment horizon effect on asset allocation between value and growth strategies
How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address...
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| Published in | Economic modelling Vol. 28; no. 4; pp. 1489 - 1497 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.07.2011
Elsevier Elsevier Science Ltd |
| Series | Economic Modelling |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0264-9993 1873-6122 |
| DOI | 10.1016/j.econmod.2011.02.028 |
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| Abstract | How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama–French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama–French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much.
► We model asset allocation between value and growth strategies using wavelet analysis. ► We examine the changes of the optimal allocation weight over various horizons. ► We explore two common alternatives: Fama-French versus S&P 500/Barra portfolios. ► The success of the value strategy depend on the classifying approach. |
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| AbstractList | How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama–French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama–French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much.
► We model asset allocation between value and growth strategies using wavelet analysis. ► We examine the changes of the optimal allocation weight over various horizons. ► We explore two common alternatives: Fama-French versus S&P 500/Barra portfolios. ► The success of the value strategy depend on the classifying approach. How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama-French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much. How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama-French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much. All rights reserved, Elsevier How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama-French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much. [PUBLICATION ABSTRACT] How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard Poor's (SP) 500/Barra portfolios. The results using Fama-French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for SP 500/Barra portfolios the allocation weights between value and growth do not vary much. [PUBLICATION ABSTRACT] |
| Author | Kim, Sangbae Gençay, Ramazan In, Francis |
| Author_xml | – sequence: 1 givenname: Francis surname: In fullname: In, Francis email: francis.in@buseco.monash.edu.au organization: Department of Accounting and Finance, Monash University, Clayton, Victoria, 3168, Australia – sequence: 2 givenname: Sangbae surname: Kim fullname: Kim, Sangbae email: sbkim@knu.ac.kr organization: School of Business Administration, Kyungpook National University, Sankyuk-dong, Puk-ku, Daegu, 702–701, Republic of Korea – sequence: 3 givenname: Ramazan surname: Gençay fullname: Gençay, Ramazan email: rgencay@sfu.ca organization: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, British Columbia, Canada V5A 1S6 |
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| Keywords | Growth stocks Asset allocation Value stocks G10 G12 Wavelet analysis Investment horizon |
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| SubjectTerms | Asset allocation Asset allocation Value stocks Growth stocks Investment horizon Wavelet analysis Assets Decision making Development strategies Economic models Economics Growth stocks Growth theory Investment Investment horizon Investment policy Investments Portfolio management Portfolios Risk Risk exposure Stock exchange Stocks Studies Value Value stocks Wavelet analysis |
| Title | Investment horizon effect on asset allocation between value and growth strategies |
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