Ratings-Driven Demand and Systematic Price Fluctuations
研究发现共同基金评级引发投资者追逐业绩的关联需求，导致系统性价格波动；2002年晨星改革评级方法后，风格层面的关联需求减弱，改变了风格收益的时序和截面变化。
Abstract We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing investors directed capital into winning styles, generating style-level price pressures, which reverted over time. In June 2002, Morningstar reformed its methodology of equalizing ratings across styles. Style-level correlated demand via mutual funds immediately became muted, significantly altering the time-series and cross-sectional variation in style returns.