拥挤和流动性冲击

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2022-12-05 DOI:10.3905/jpm.2022.1.448

Hector Chan, Tony Tan

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引用次数: 0

摘要

作者开发了一个模型，其目的是研究拥挤和流动性冲击之间的关系。该模型的一个主要结果是，拥挤与套利者更大程度地暴露于更广泛的流动性冲击有关。作者通过对股票多空策略的实证研究证实了这一联系。他们使用空头数据来识别影响资深股票投资者的流动性冲击，并推断出一些众所周知的多空股票因素的拥挤程度。当流动性冲击(如2007年的量化危机或最近的2020年covid -19引发的量化去杠杆化)发生时，拥挤策略确实往往表现不佳。

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Crowding and Liquidity Shocks

The authors develop a model whose aim is to study the relationship between crowding and liquidity shocks. One of the main results of that model is that crowding is associated with a larger exposure to broader liquidity shocks on arbitrageurs. The authors confirm this link empirically by studying equity long–short strategies. They use short interest data both to identify liquidity shocks impacting sophisticated equity investors and to infer crowdedness for some of the well-known long–short equity factors. When liquidity shocks (such as the 2007 quant crisis or the more recent 2020 COVID-19–induced quant deleverage) occur, crowded strategies indeed tend to underperform.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.