Style‐Related Comovement: Fundamentals or Labels?
研究发现，经济上无意义的指数标签会导致股票回报的联动超出基本面解释，例如S&P/Barra的价值和成长指数在重新分类股票后，股票与新旧指数的联动发生显著变化。
ABSTRACT I find that economically meaningless index labels cause stock returns to covary in excess of fundamentals. S&P/Barra follow a simple mechanical procedure to define their Value and Growth indices. In doing so, they reclassify some stocks from Value to Growth even after their book‐to‐market ratios have risen, and vice versa. Such stocks begin to covary more with the index they join and less with the index they leave. Backdated constituent data from Barra reveal no such label‐related shifts in comovement during the 10 years prior to the actual introduction of the indices in 1992.