Fast and Slow Arbitrage: The Predictive Power of (Persistent) Capital Flows for Factor Returns
研究发现对冲基金和共同基金的持续性资本流入能预测月度因子收益，样本外R²达6.6%，而短暂流动无此能力，原因在于主动基金经理的资本约束。
Abstract We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show—both empirically and theoretically—that persistent flows’ predictive power stems from active fund managers’ capital constraints. As a result, managers invest persistent, but not transient, capital flows into factor trading strategies, leading to factor-return predictability and factor momentum, yet greater price efficiency. Our key insight is that capital-constrained managers account for both current and anticipated future flows in the arbitrage sector, thereby incorporating the dynamics of capital into their strategies.