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Ratings-Driven Demand and Systematic Price Fluctuations

Itzhak Ben-David

出版	National Bureau of Economic Research, 2020
URL	http://books.google.com.hk/books?id=ZsB_0AEACAAJ&hl=&source=gbs_api

註釋

We show that Morningstar mutual fund ratings generates correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing investors directed capital into winning styles, generating style-level price pressures that reverted over time. In June 2002, Morningstar reformed its methodology to equalize ratings across styles. Style- level correlated demand via mutual funds immediately became muted, significantly altering the time-series and cross-sectional variation of style returns.