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Risk-on/Risk-off: Measuring Shifts in Investor Sentiment

Author

Listed:
  • Anusha Chari
  • Karlye Dilts Stedman
  • Christian T. Lundblad

Abstract

A new, high frequency measure of investor sentiment outperforms similar measures in forecasting investment activity in emerging markets.

Suggested Citation

  • Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2024. "Risk-on/Risk-off: Measuring Shifts in Investor Sentiment," Research Working Paper RWP 24-12, Federal Reserve Bank of Kansas City.
    • Handle: RePEc:fip:fedkrw:99293
    DOI: 10.18651/RWP2024-12
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    More about this item

    Keywords

    risk-on/risk-off; global investor risk aversion; extreme events; tail risk; portfolio reallocation; return predictability;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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