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 footprint 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.
机构:
Boston Univ, Sch Management, Boston, MA 02215 USABoston Univ, Sch Management, Boston, MA 02215 USA
Albuquerque, Rui
De Francisco, Eva
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Towson Univ, Dept Econ, Towson, MD USABoston Univ, Sch Management, Boston, MA 02215 USA
De Francisco, Eva
Marques, Luis B.
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Johns Hopkins Univ, Paul H Nitze Sch Adv Int Studies, Baltimore, MD 21218 USA
CEMPRE, Oporto, PortugalBoston Univ, Sch Management, Boston, MA 02215 USA
机构:
Harvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Natl Bur Econ Res, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Campbell, John Y.
Ramadorai, Tarun
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Univ Oxford, Said Business Sch, Oxford OX1 1HP, England
Univ Oxford, Oxford Man Inst Quantitat Finance, Oxford OX1 4EH, England
Ctr Econ Policy Res, London EC1V 0DG, EnglandHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Ramadorai, Tarun
Schwartz, Allie
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h-index: 0
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Cornerstone Res, New York, NY 10022 USAHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
机构:
Boston Univ, Sch Management, Boston, MA 02215 USABoston Univ, Sch Management, Boston, MA 02215 USA
Albuquerque, Rui
De Francisco, Eva
论文数: 0引用数: 0
h-index: 0
机构:
Towson Univ, Dept Econ, Towson, MD USABoston Univ, Sch Management, Boston, MA 02215 USA
De Francisco, Eva
Marques, Luis B.
论文数: 0引用数: 0
h-index: 0
机构:
Johns Hopkins Univ, Paul H Nitze Sch Adv Int Studies, Baltimore, MD 21218 USA
CEMPRE, Oporto, PortugalBoston Univ, Sch Management, Boston, MA 02215 USA
机构:
Harvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Natl Bur Econ Res, Cambridge, MA 02138 USAHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Campbell, John Y.
Ramadorai, Tarun
论文数: 0引用数: 0
h-index: 0
机构:
Univ Oxford, Said Business Sch, Oxford OX1 1HP, England
Univ Oxford, Oxford Man Inst Quantitat Finance, Oxford OX1 4EH, England
Ctr Econ Policy Res, London EC1V 0DG, EnglandHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA
Ramadorai, Tarun
Schwartz, Allie
论文数: 0引用数: 0
h-index: 0
机构:
Cornerstone Res, New York, NY 10022 USAHarvard Univ, Littauer Ctr 213, Dept Econ, Cambridge, MA 02138 USA