Measuring Mutual Fund Flow Pressure as Shock to Stock Returns
指出标准方法计算的资金流出价格压力指标实际上直接包含了股票的实际收益，导致其与基本面不独立；修正后资金流出对收益影响很小且无反转，许多已有结论不再成立。
ABSTRACT A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow‐induced price pressure to isolate nonfundamental price variation. I demonstrate that the standard approach to computing outflow‐induced price pressure produces a measure that is inadvertently a direct function of a stock's actual realized return during the outflow quarter, raising doubts about its orthogonality to fundamentals. After removing these direct measurements of return, outflows generate a fairly negligible quarterly decline in returns, with no subsequent reversal, and many established results in this literature no longer hold. I provide suggestions for future analysis.