A Flow-Based Explanation for Return Predictability
提出并检验了基于资本流动的解释，用于说明共同基金业绩持续性、聪明钱效应和股票价格动量等回报可预测性现象。通过汇总所有共同基金的流动驱动交易来构建个股需求冲击指标，发现非知情交易有显著的暂时价格影响，且预期部分的流动驱动交易能正向预测未来一年回报，随后反转。
I propose and test a capital-flow-based explanation for some well-known empirical regularities concerning return predictability - the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. First, I construct a measure of demand shocks to individual stocks by aggregating flow-induced trading across all mutual funds, and document a significant, temporary price impact of such uninformed trading. Next, given that mutual fund flows are highly predictable, I show that the expected part of flow-induced trading positively forecasts stock and mutual fund returns in the following year, which are then reversed in subsequent years. The main findings of the paper are that the flow-driven return effect can fully account for mutual fund performance persistence and the smart money effect, and can partially explain stock price momentum. © 2012 The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.