Crowding and Liquidity Shocks
研究了拥挤如何加剧套利者面临的流动性冲击，通过股票多空策略数据证实，拥挤策略在流动性冲击（如2007年量化危机和2020年新冠疫情引发的量化去杠杆）中表现更差。
The authors develop a model whose aim is to study the relationship between crowding and liquidity shocks. One of the main results of that model is that crowding is associated with a larger exposure to broader liquidity shocks on arbitrageurs. The authors confirm this link empirically by studying equity long–short strategies. They use short interest data both to identify liquidity shocks impacting sophisticated equity investors and to infer crowdedness for some of the well-known long–short equity factors. When liquidity shocks (such as the 2007 quant crisis or the more recent 2020 COVID-19–induced quant deleverage) occur, crowded strategies indeed tend to underperform.