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http://dx.doi.org/10.15207/JKCS.2019.10.9.199

Robo-Advisor Profitability combined with the Stock Price Forecast of Analyst  

Kim, Sun-Woong (Major in Trading System, Graduate School of Business IT, Kookmin University)
Publication Information
Journal of the Korea Convergence Society / v.10, no.9, 2019 , pp. 199-207 More about this Journal
Abstract
This study aims to analyze the profitability of Robo-Advisors portfolio combined with the analysts' forecasts on the Korean stock prices. Sample stocks are 8 blue-chips and sample period is from 2003 to 2019. Robo-Advisor portfolio was suggested using the Black-Litterman model combined with the analysts' forecasts and its profitability was analyzed. Empirical result showed the suggested Robo-Advisor algorithm produced 1% annual excess return more than that of the benchmark. The study documented that the analysts' forecasts had an economic value when applied in the Robo-Advisor portfolio despite the prevalent blames from investors. The profitability on small or medium-sized stocks will need to be analyzed in the Robo-Advisor context because their information is relatively less known to investors and as such is expected to be strongly influenced by the analysts' forecasts.
Keywords
Rob-Advisor algorithm; Mean-variance model; Black-Litterman model; Securities analyst; Stock price forecast;
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Times Cited By KSCI : 4  (Citation Analysis)
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