Crowded spaces and anomalies
研究了拥挤交易（众多投资者持有相同股票可能耗尽流动性）与未来股票回报的关系，发现异常风险调整回报主要由最拥挤（最不拥挤）的多头（空头）组合产生，且结果在发表后仍显著，表明拥挤增加了机构投资者的崩盘风险暴露。
This paper investigates the relation between crowded trades, those in which many investors hold the same stocks possibly exhausting their liquidity provision, and future stock returns on a set of well-known stock market anomalies. We find that anomaly risk-adjusted returns are primarily generated by the most (least) crowded stocks for the long-leg (short-leg) portfolio. Moreover, we find that our results remain significant after publication dates. We hypothesize that crowded equity positions in anomaly stocks increase institutional investors’ exposure to crash risk. Our findings are consistent with this hypothesis and suggest that crowding adds a new consideration to the limits of arbitrage.