Diversification driven demand for large stock

• 成果类型: Article
• 署名作者: Chen, Huaizhi
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104109
• 发表日期: 2025
• 关键词: momentum; Mutual funds; Portfolio management; PRICE PRESSURE; reversal; risk management; Stock demand

摘要

I show that as a portfolio's value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund's own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).