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来源类型Working Paper
规范类型报告
DOI10.3386/w28103
来源IDWorking 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
URLhttps://www.nber.org/papers/w28103
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/585777
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GB/T 7714
Itzhak Ben-David,Jiacui Li,Andrea Rossi,et al. Ratings-Driven Demand and Systematic Price Fluctuations. 2020.
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