| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28624 |
| 来源ID | Working Paper 28624 |
| Discontinued Positive Feedback Trading and the Decline of Return Predictability | |
| Itzhak Ben-David; Jiacui Li; Andrea Rossi; Yang Song | |
| 发表日期 | 2021-03-29 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We show that demand effects generated by institutional frictions can influence systematic return predictability patterns in stocks and mutual funds. Identification relies on a reform to the Morningstar rating system, which we show caused a structural break in style-level positive feedback trading by mutual funds. As a result, momentum-related factors in stocks, as well as performance persistence and the “dumb money effect” in mutual funds, experienced sharp decline. Consistent with the proposed channel, return predictability declined right after the reform, was limited to the U.S. market, and was concentrated in factors and mutual funds most exposed to the mechanism. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Behavioral Finance |
| URL | https://www.nber.org/papers/w28624 |
| 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/586297 |
| 推荐引用方式 GB/T 7714 | Itzhak Ben-David,Jiacui Li,Andrea Rossi,et al. Discontinued Positive Feedback Trading and the Decline of Return Predictability. 2021. |
| 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 | ||
| w28624.pdf（1077KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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