Naïve Style-Level Feedback Trading in Passive Funds
研究发现被动ETF中存在短期风格动量交易，机构投资者（尤其是非老练机构）本身也是风格动量交易者，而非套利者，且近期风格级需求可预测风格级收益反转，表明非知情正反馈交易可能短期破坏市场稳定。
Abstract Passive exchange-traded funds (ETFs) are ideally suited to style-level feedback trading because of their high liquidity, ease of short selling, and pure play on investment styles. I find strong evidence of short-term style-momentum trading in ETFs. Institutional investors that use ETFs do not act as arbitrageurs by trading against style momentum. Institutions, especially less sophisticated ones, are themselves style-momentum traders. Moreover, recent style-level demand predicts style-level return reversals. These findings suggest that uninformed positive feedback trading by less sophisticated market participants can destabilize financial markets in the short run.