Discontinued Positive Feedback Trading and the Decline of Return Predictability
研究发现，机构摩擦引发的需求效应会影响股票和共同基金的系统性回报可预测性。晨星评级系统改革导致共同基金风格层面的正向反馈交易出现结构性断裂，进而使动量因子、业绩持续性及“傻钱效应”显著下降。
Abstract We show that demand effects generated by institutional frictions can influence systematic return predictability patterns in stocks and mutual funds. Identification relies on a reform to the Morningstar rating system, which we show caused a structural break in style-level positive feedback trading by mutual funds. As a result, momentum-related factors in stocks, as well as performance persistence and the “dumb money effect” in mutual funds, experienced a sharp decline. Consistent with the proposed channel, return predictability declined right after the reform, was limited to the U.S. market, and was concentrated in factors and mutual funds most exposed to the mechanism.