Crowding and Tail Risk in Momentum Returns
构建了一个动量收益的拥挤模型，发现当套利者忽略反馈效应时会产生尾部风险，但理性套利者考虑反馈时拥挤不会导致尾部风险。实证分析显示机构持股拥挤度与预期崩盘风险负相关，质疑拥挤作为尾部风险独立来源的观点。
Abstract Several theoretical studies suggest that coordination problems can cause arbitrageur crowding to push asset prices beyond fundamental value as investors feedback trade on each others’ demands. Using this logic, we develop a crowding model for momentum returns that predicts tail risk when arbitrageurs ignore feedback effects. However, crowding does not generate tail risk when arbitrageurs rationally condition on feedback. Consistent with rational demands, our empirical analysis generally finds a negative relation between crowding proxies constructed from institutional holdings and expected crash risk. Thus our analysis casts both theoretical and empirical doubt on crowding as a stand-alone source of tail risk.