全球智库信息集成服务系统(G2TT): An Institutional Theory of Momentum and Reversal

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14523
来源ID	Working Paper 14523
	An Institutional Theory of Momentum and Reversal
	Dimitri Vayanos; Paul Woolley
发表日期	2008-12-05
出版年	2008
语种	英语
摘要	We propose a rational theory of momentum and reversal based on delegated portfolio management. An investor can hold assets through an index or an active fund. Investing in the active fund involves a time-varying cost, interpreted as managerial perk or ability. The investor responds to an increase in the cost by flowing out of the active and into the index fund. While prices of assets held by the active fund drop in anticipation of these outflows, the drop is expected to continue, leading to momentum. Because outflows push prices below fundamental values, expected returns eventually rise, leading to reversal. Besides momentum and reversal, fund flows generate comovement, lead-lag effects and amplification, with all effects being larger for assets with high idiosyncratic risk. The active-fund manager's concern with commercial risk makes prices more volatile.
主题	Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w14523
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/572198
推荐引用方式 GB/T 7714	Dimitri Vayanos,Paul Woolley. An Institutional Theory of Momentum and Reversal. 2008.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w14523.pdf（492KB）	智库出版物		限制开放	CC BY-NC-SA	浏览