Working Paper
Risk-on/Risk-off: Measuring Shifts in Investor Sentiment
Abstract: A new, high frequency measure of investor sentiment outperforms similar measures in forecasting investment activity in emerging markets.
Keywords: risk-on/risk-off; global investor risk aversion; extreme events; tail risk; portfolio reallocation; return predictability;
JEL Classification: F21; F36; F65; G11; G12; G15; G23;
https://doi.org/10.18651/RWP2024-12
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https://www.kansascityfed.org/documents/10594/rwp24-12charistedmanlundblad.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of Kansas City
Part of Series: Research Working Paper
Publication Date: 2024-11-26
Number: RWP 24-12