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ANTÓN, MIGUEL; POLK, CHRISTOPHER
The Journal of finance (New York), June 2014, Letnik: 69, Številka: 3Journal Article
We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross-sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experiment—the 2003 mutual fund trading scandal. These results motivate a novel cross-stock-reversal trading strategy exploiting information contained in ownership connections. We show that long-short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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Povezave do osebnih bibliografij avtorjev | Povezave do podatkov o raziskovalcih v sistemu SICRIS |
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Vir: Osebne bibliografije
in: SICRIS
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