RT Journal Article
SR Electronic
T1 Multi-Asset Sentiment and Institutional<br/>Investor Behavior: <em>A Cross-Asset Perspective</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 144
OP 156
DO 10.3905/jpm.2014.40.4.144
VO 40
IS 4
A1 Kenneth A. Froot
A1 Rajeev Bhargava
A1 Edward S. Cuipa
A1 John S. Arabadjis
YR 2014
UL https://pm-research.com/content/40/4/144.abstract
AB 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’ broad information set.TOPICS: In markets, equity portfolio management, commodities