Abstract

http://ssrn.com/abstract=1344764
 
 

References (26)



 
 

Citations (7)



 


 



What Does Equity Sector Orderflow Tell Us about the Economy?


Alessandro Beber


Cass Business School; Centre for Economic Policy Research (CEPR)

Kenneth A. Kavajecz


Syracuse University - Whitman School; University of Wisconsin, Madison - Department of Finance, Investment and Banking

Michael W. Brandt


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

February 1, 2009

EFA 2009 Bergen Meetings Paper

Abstract:     
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 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, future stock market returns, 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.

Number of Pages in PDF File: 51

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Date posted: February 17, 2009  

Suggested Citation

Beber, Alessandro and Kavajecz, Kenneth A. and Brandt, Michael W., What Does Equity Sector Orderflow Tell Us about the Economy? (February 1, 2009). EFA 2009 Bergen Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1344764 or http://dx.doi.org/10.2139/ssrn.1344764

Contact Information

Alessandro Beber
Cass Business School ( email )
London, EC2Y 8HB
Great Britain
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Kenneth A. Kavajecz
Syracuse University - Whitman School ( email )
900 S. Crouse Avenue
Syracuse, NY 13244-2130
United States
University of Wisconsin, Madison - Department of Finance, Investment and Banking ( email )
975 University Avenue
Madison, WI 53706
United States
Michael W. Brandt (Contact Author)
Duke University - Fuqua School of Business ( email )
1 Towerview Drive
Durham, NC 27708-0120
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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References:  26
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