| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16534 |
| 来源ID | Working Paper 16534 |
| What Does Equity Sector Orderflow Tell Us about the Economy? | |
| Alessandro Beber; Michael W. Brandt; Kenneth A. Kavajecz | |
| 发表日期 | 2010-11-18 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically their views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors is consistent with sector rotation, an investment strategy that exploits perceived differences in the relative performance of sectors at different stages of the business cycle. The empirical foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even after controlling for relative sector returns. Contrary to many theories of price formation, trading activity therefore contains information that is not entirely revealed by resulting relative price changes. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16534 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574209 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael W. Brandt,Kenneth A. Kavajecz. What Does Equity Sector Orderflow Tell Us about the Economy?. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16534.pdf（322KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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