The Price Pressure of Aggregate Mutual Fund Flows
利用以色列股票共同基金的日度总流量数据，研究发现基金流量会造成临时价格压力，并在10个交易日内约有一半的价格变化被反转，支持了临时价格压力假说。
Abstract Using a unique database of aggregate daily flows to equity mutual funds in Israel, we find strong support for the “temporary price pressure hypothesis” regarding mutual fund flows: Mutual fund flows create temporary price pressure that is subsequently corrected. We find that flows are positively autocorrelated, and are correlated with market returns ( R 2 of 20%). Our main finding is that approximately one-half of the price change is reversed within 10 trading days. This support for the “temporary price pressure hypothesis” complements microstructure research concerning price impact and price noise in stocks by indicating price noise at the aggregate market level.