@article {Froot144, author = {Kenneth A. Froot and Rajeev Bhargava and Edward S. Cuipa and John S. Arabadjis}, title = {Multi-Asset Sentiment and InstitutionalInvestor Behavior: A Cross-Asset Perspective }, volume = {40}, number = {4}, pages = {144--156}, year = {2014}, doi = {10.3905/jpm.2014.40.4.144}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Greater financial integration and central bank policy initiatives in major developed markets have made cross-asset return correlations more important, highlighting the interest in broad measures of market-wide sentiment. Using an extensive array of institutional behavioral metrics across asset classes from State Street Associates, we find evidence that suggests market-wide sentiment varies with, and can be forecasted by, broad aggregates across many indicators of institutional investor flows. The number and breadth of these institutional flow measures encourage aggregation into a more manageable set of elements. To this end, we condense this information into what we call a Behavioral Risk Scorecard (BRS), a concise measure of behavior that captures trading sentiment using State Street Associates{\textquoteright} broad information set.TOPICS: In markets, equity portfolio management, commodities}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/4/144}, eprint = {https://jpm.pm-research.com/content/40/4/144.full.pdf}, journal = {The Journal of Portfolio Management} }