Comomentum: Inferring Arbitrage Activity from Return Correlations
提出一种衡量套利活动的新指标“共同动量”，即动量策略投机股票间的高频异常收益相关性，发现低共同动量时套利者纠正反应不足、策略稳定市场，高共同动量时拥挤交易导致过度反应、价格偏离基本面。
Abstract We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect on the stock market. We focus on stock price momentum, a classic example of a positive-feedback strategy that our theory predicts can be destabilizing. Our measure, dubbed comomentum, is the high-frequency abnormal return correlation among stocks on which a typical momentum strategy would speculate. When comomentum is low, momentum strategies are stabilizing, reflecting an underreaction phenomenon that arbitrageurs correct. When comomentum is high, the returns on momentum stocks strongly revert, reflecting prior overreaction from crowded momentum trading that pushes prices away from fundamentals. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.