Ratings-Driven Demand and Systematic Price Fluctuations

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Arizona; University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab104
• 发表日期: 2022
• 页码: 2790
• 关键词: sarbanes-oxley act; cross-section; RISK; style; INFORMATION; INVESTMENT; returns; stocks; equity; performance

摘要

We show that mutual fund ratings generate 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, which reverted over time. In June 2002, Morningstar reformed its methodology of equalizing ratings across styles. Style-level correlated demand via mutual funds immediately became muted, significantly altering the time-series and cross-sectional variation in style returns.