Connected Stocks
研究发现共同基金共同持股会导致股票收益的额外联动，利用2003年基金交易丑闻作为自然实验证实因果关系，并基于此提出反向交易策略，该策略与对冲基金收益负相关。
ABSTRACT We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross‐sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experiment—the 2003 mutual fund trading scandal. These results motivate a novel cross‐stock‐reversal trading strategy exploiting information contained in ownership connections. We show that long‐short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement.