On the Style-Based Feedback Trading of Mutual Fund Managers
研究了美国共同基金经理基于投资风格的反馈交易行为，发现77%的基金存在风格反馈交易，其中一半是正反馈、一半是负反馈，且成长型基金更多使用正反馈交易，价值型基金更多使用负反馈交易。
Abstract This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer’s style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for “twin style” switching, where capital is channeled between value and growth, and between large- and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.