Connected Stocks

• 成果类型: Article
• 署名作者: Anton, Miguel; Polk, Christopher
• 署名单位: University of Navarra; IESE Business School; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12149
• 发表日期: 2014
• 页码: 1099-1127
• 关键词: asset fire sales; hedge; RISK; MARKET; equilibrium; transmission; strategies; volatility; purchases; returns

摘要

We connect stocks through their common active mutual fund owners. We show that the degree of shared ownership forecasts cross-sectional variation in return correlation, controlling for exposure to systematic return factors, style and sector similarity, and many other pair characteristics. We argue that shared ownership causes this excess comovement based on evidence from a natural experimentthe 2003 mutual fund trading scandal. These results motivate a novel cross-stock-reversal trading strategy exploiting information contained in ownership connections. We show that long-short hedge fund index returns covary negatively with this strategy, suggesting these funds may exacerbate this excess comovement.