Discontinued Positive Feedback Trading and the Decline of Return Predictability

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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial and quantitative analysis 2024-11, Vol.59 (7), p.3062-3100
Hauptverfasser:	Ben-David, Itzhak, Li, Jiacui, Rossi, Andrea, Song, Yang
Format:	Artikel
Sprache:	eng
Schlagworte:	Discontinued Equity Equity funds Feedback Investment policy Investments Investors Managerial skills Money Mutual funds Profitability Quantitative analysis Ratings & rankings Stocks
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!