Multi-Asset Sentiment and Institutional Investor Behavior: A Cross-Asset Perspective

摘要

Higher levels of global financial market development and integration, as well as increased central bank policy initiatives by major developed-market policymakers (asset purchase programs/financial repression/quantitative easing), have led to an increase in cross-asset return correlations, highlighting the need for broader measures of market sentiment. Using an extensive array of behavioral indicators that reach across asset classes and various dimensions of investor behavior, we find that similarities between the behavior of the portfolios that comprise our flow indicators and differences between our portfolios' behavior and the behavior of the rest of the market, make aggregate measures of investor behavior informative.