| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16527 |
| DP16527 What Alleviates Crowding in Factor Investing? | |
| Victor DeMiguel; Alberto Martin-Utrera | |
| 发表日期 | 2021-09-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The growing number of institutions exploiting factor-investing strategies raises concerns that crowding may increase price-impact costs and erode profits. We identify a mechanism that alleviates crowding -- trading diversification: institutions exploiting different characteristics can reduce each other's price-impact costs even when their rebalancing trades are not negatively correlated. Empirically, trading diversification increases capacity by 45%, optimal investment by 43%, and profits by 22%. Using a game-theoretic model, we show that, while competition to exploit a characteristic erodes its profits because of crowding, competition among institutions exploiting other characteristics alleviates crowding. Using mutual-fund holdings, we provide empirical support for the model's predictions. |
| 主题 | Financial Economics |
| 关键词 | Capacity of quantitative strategies Price impact Competition |
| URL | https://cepr.org/publications/dp16527 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545481 |
| 推荐引用方式 GB/T 7714 | Victor DeMiguel,Alberto Martin-Utrera. DP16527 What Alleviates Crowding in Factor Investing?. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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