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dc.contributor.authorIn, Francis H.
dc.contributor.authorKim, Sangbae
dc.contributor.authorGencay, Ramazan
dc.date.accessioned2017-05-10T03:12:22Z
dc.date.available2017-05-10T03:12:22Z
dc.date.issued2011
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2011.02.028
dc.identifier.urihttp://hdl.handle.net/10072/336472
dc.description.abstractHow 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom1489
dc.relation.ispartofpageto1497
dc.relation.ispartofissue4
dc.relation.ispartofjournalEconomic Modelling
dc.relation.ispartofvolume28
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleInvestment horizon effect on asset allocation between value and growth strategies
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorIn, Francis H.


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