Discontinued Positive Feedback Trading and the Decline of Return Predictability
收藏NBER2021-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w28624
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2021-03-01
