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

Anusha Chari, Karlye Dilts Stedman and Christian T. Lundblad

No RWP 24-12, Research Working Paper from Federal Reserve Bank of Kansas City

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 (search for similar items in EconPapers)
JEL-codes: F21 F36 F65 G11 G12 G15 G23 (search for similar items in EconPapers)
Pages: 28
Date: 2024-11-26
New Economics Papers: this item is included in nep-fdg, nep-fmk, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedkrw:99293

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DOI: 10.18651/RWP2024-12

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