Decoding Momentum Spillover Effects
研究了经济关联公司间的收益可预测性，发现个人投资者持续交易导致开盘价扭曲，而专业投资者的套利逐渐纠正错误定价，共同基金和对冲基金的资金流与这种拉锯战有不同关联。
Abstract This article studies the making of return predictability among economically linked firms. I characterize an asymmetric cross-firm tug-of-war: i) High peer overnight returns are followed by elevated overnight returns for focal stocks, which fully reverse during intraday, and ii) high peer intraday returns are followed by high intraday returns but minor overnight price reactions. This pattern aligns with the story that individuals’ persistent trading on salient information distorts opening prices, while slow-moving arbitrage by professional investors gradually corrects mispricing. Mutual fund and hedge fund flows exhibit distinct associations with the tug-of-war, supporting the hypothesis that heterogeneous demand drives the return predictability.