위험자산할당실적을 이용한 상대투자자심리가 자산가격에 미치는 영향

This paper examines the usefulness of the cash flow indicators in the Korean financial market as an investor sentiment index, and confirms whether investor sentiment is operating in the Korean market using the cash flow indicators. We measures investor sentiment by using the risk asset allocation which can be observed directly instead of using proxy variables. As the result of investment decisions by individuals and institutions, the difference in the allocation of risk assets can be regarded as the difference in investment results due to changes in investor sentiment. The results of this study are summarized as follows. First, the empirical analysis of the relationship between the asset allocation indicator and the market return shows that the individual equity allocation indicator satisfies the characteristics of investor sentiment, whereas the individual bond allocation indicator does not satisfy the requirements of investor sentiment index. Second, the prediction results exhibited that individual contemporaneous equity allocation indicators have significant forecasting power over the stock market returns. Third, as a result of dividing into domestic and foreign institutions, foreign institutions showed a significant positive relationship with the stock market excess return and domestic institutions had a significant negative relationship. Fourth, the volatility of individual investors is relatively larger than the volatility of institutional investors.