What Does Equity Sector Orderflow Tell Us About the Economy?

• 成果类型: Article
• 署名作者: Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A.
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; City St Georges, University of London; Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr067
• 发表日期: 2011
• 页码: 3688
• 关键词: Price discovery; STOCK; liquidity; INFORMATION; MARKET; bond; returns

摘要

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.