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Article

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

Kenneth A. Froot, Rajeev Bhargava, Edward S. Cuipa and John S. Arabadjis
The Journal of Portfolio Management Summer 2014, 40 (4) 144-156; DOI: https://doi.org/10.3905/jpm.2014.40.4.144
Kenneth A. Froot
is the André R. Jakurski Professor of Business Administration at Harvard University’s Graduate School of Business Administration, founding partner of FDO Partners, and research director at State Street Associates, in Cambridge, MA.
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  • For correspondence: kfroot@hbs.edu
Rajeev Bhargava
is vice president for multi-asset class investor behavior research at State Street Associates in Cambridge, MA.
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  • For correspondence: rbhargava@statestreet.com
Edward S. Cuipa
is an assistant vice president for multi-asset class investor behavior research at State Street Associates in Cambridge, MA.
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  • For correspondence: ecuipa@statestreet.com
John S. Arabadjis
is managing director and head of investor behavior research at State Street Associates in Cambridge, MA.
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  • For correspondence: jsarabadjis@statestreet.com
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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’ broad information set.

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The Journal of Portfolio Management: 40 (4)
The Journal of Portfolio Management
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Summer 2014
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Multi-Asset Sentiment and Institutional
Investor Behavior: A Cross-Asset Perspective
Kenneth A. Froot, Rajeev Bhargava, Edward S. Cuipa, John S. Arabadjis
The Journal of Portfolio Management Jul 2014, 40 (4) 144-156; DOI: 10.3905/jpm.2014.40.4.144

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Multi-Asset Sentiment and Institutional
Investor Behavior: A Cross-Asset Perspective
Kenneth A. Froot, Rajeev Bhargava, Edward S. Cuipa, John S. Arabadjis
The Journal of Portfolio Management Jul 2014, 40 (4) 144-156; DOI: 10.3905/jpm.2014.40.4.144
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    • Abstract
    • INSTITUTIONAL INVESTOR BEHAVIOR
    • LITERATURE REVIEW
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