论文标题
放大权益因素拥挤
Zooming In on Equity Factor Crowding
论文作者
论文摘要
拥挤很可能是战略绩效恶化，交易成本的增加和系统风险发展的重要因素。我们在匿名市场数据和美国股票市场机构投资者的大量元数据库中研究\ emph {Croudding}的烙印。我们提出了拥挤的直接指标，这些指标通过查看市场上执行的交易的不平衡的波动来捕获同时在同一方向上交易相同股票的投资者的存在。我们确定了众所周知的股权信号中拥挤的重大迹象，例如Fama-French因素，尤其是动力。我们表明，动量投资组合的重新平衡可以解释订单流量的1-2％，并且近年来，这一百分比已大大增加。
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large database of metaorders from institutional investors in the U.S. equity market. We propose direct metrics of crowding that capture the presence of investors contemporaneously trading the same stock in the same direction by looking at fluctuations of the imbalances of trades executed on the market. We identify significant signs of crowding in well known equity signals, such as Fama-French factors and especially Momentum. We show that the rebalancing of a Momentum portfolio can explain between 1-2\% of order flow, and that this percentage has been significantly increasing in recent years.
