Greater financial integration and central bank policy initiatives in major developed markets have led to an increase in cross-asset return correlations, highlighting the interest in broad measures of ...market-wide sentiment. Using an extensive array of institutional behavioral metrics across asset classes, the authors find evidence that suggests market-wide sentiment varies with, and can be forecasted by, broad aggregates across many indicators of institutional investor flows. The large number and wide breadth of these institutional flow measures across assets encourages aggregation into a more manageable set of elements. To this end, the authors condense this broad information set into what they call a multi-asset sentiment score (MASS), a concise measure of behavior that captures trading sentiment using a broad information set.
On the Internal Absorption of Galaxy Clusters Arabadjis, John S; Bregman, Joel N
Astrophysical journal/The Astrophysical journal,
06/2000, Letnik:
536, Številka:
1
Journal Article
Currency investors exhibit a tendency to cut risk by pairing both longs and shorts following losses and a weaker tendency to add risk following gains. By differentiating between position-level, ...portfolio-level, and aggregate crossportfolio losses in currency investments, the authors demonstrate that this dynamic loss aversion spans multiple frames of reference. Losses are not compartmentalized, but rather a loss in one currency may impact trading in another. The authors also show that while the impact of a loss on subsequent trading decisions does linger, the effect declines sharply after a losing position is closed. PUBLICATION ABSTRACT
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