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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w28103 |
来源ID | Working Paper 28103 |
Ratings-Driven Demand and Systematic Price Fluctuations | |
Itzhak Ben-David; Jiacui Li; Andrea Rossi; Yang Song | |
发表日期 | 2020-11-16 |
出版年 | 2020 |
语种 | 英语 |
摘要 | We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing investors directed capital into winning styles, generating style-level price pressures, which reverted over time. In June 2002, Morningstar reformed its methodology of equalizing ratings across styles. Style-level correlated demand via mutual funds immediately became muted, significantly altering the time-series and cross-sectional variation in style returns. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Behavioral Finance |
URL | https://www.nber.org/papers/w28103 |
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/585777 |
推荐引用方式 GB/T 7714 | Itzhak Ben-David,Jiacui Li,Andrea Rossi,et al. Ratings-Driven Demand and Systematic Price Fluctuations. 2020. |
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 | ||
w28103.pdf(3313KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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