The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns?
利用Cremers和Petajisto的方法区分主动与被动机构投资者，发现主动投资者能缓解股票收益的异常联动，尤其在标普500指数纳入和股票分割事件中，主动投资者交易活跃时异象消失，而主动投资者大量退出时异象持续。
Abstract This study uses Cremers and Petajisto’s (2009) method to separate active institutional investors from passive ones and shows that active investors can alleviate the anomalous comovement of stock returns. Focusing on 2 events linked to the excess comovement anomaly, Standard & Poor’s 500 Index additions and stock splits, I find that if an event stock has more active institutional investors trading in the post-event period, the anomalous comovement effect disappears. In contrast, if an event stock experiences a massive exit of active investors, this anomaly persists. The exit of active institutional investors also results in a strong price synchronicity effect.