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

By Rajeev Bhargava, Ken Froot, State Street Associates

Jun 1, 2014

By Kenneth A. Froot, Rajeev Bhargava, Edward S. Cuipa, and John S. Arabadjis.

Published in the Journal of Portfolio Management, Summer 2014.

Using an extensive array of institutional behavioral data across asset classes from State Street Associates, we find evidence that suggests market-wide sentiment varies with, and can even be forecasted by, broad aggregates across many indicators of institutional investor flows.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.