Style Investing and Institutional Investors
研究机构投资者在股票市场中的风格投资行为及其价格影响，发现机构投资者在风格分组间的资金再配置比随机分组更频繁，且自身风格的资金流入和回报能正向预测未来股票回报。
Abstract This Paper explores the importance and price implications of style investing by institutional investors in the stock market. To analyze styles, we assign stocks to deciles or segments across three style dimensions: size, value/growth, and sector. we find strong evidence that institutional investors reallocate and sector. We find strong evidence that institutional investors reallocate across style groupings more intensively than across random stock groupings. In addition, we show that own segment style inflows and refurns positively forecast future stock returns, which distant segament style inflows and returns forecast negatively. We argue that behavioral theories play a role in explaining these results.