Style Investing, Mutual Fund Flows, and Return Comovement
研究发现，共同基金投资者的风格投资会增强同风格股票间的回报联动，且这种效应在基金集中持有、资金流入流出时更显著，尤其对指数基金和资金流出情况更为明显。
The authors explore whether style investing by mutual fund investors contributes to return comovement of stocks in the same style, classified by market capitalization and book-to-market ratio. They find that a stock’s comovement with other stocks in its style is significantly greater when this stock is owned by mutual funds that focus on the stock’s style. This increase in comovement is larger for stocks owned in greater proportion relative to their shares outstanding. Flows into or out of a mutual fund style positively affect return comovement; the effect is more pronounced for index funds than for actively managed funds and for outflows than for inflows.