Can Competition Increase Profits in Factor Investing?
通过博弈模型和18个因子及共同基金持仓数据，研究发现竞争在因子间因交易多样化产生正外部性，反而可能增加利润，而非仅侵蚀利润。
The increasing number of institutions exploiting factor-investing strategies raises concerns that competition may erode profits. We use a game-theoretic model to show that, whereas competition among investors exploiting a particular factor erodes profits because of the negative externality of their price impact on each other, competition to exploit other factors can increase profits from the first factor because of the positive externality from trading diversification (netting of trades across factors). Using data for 18 factors as well as mutual fund holdings, we show that competition and trading diversification substantially affect the profits from factor investing. This paper was accepted by Agostino Capponi, finance. Funding: The authors received an INQUIRE-Europe research grant for this project. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02684 .