Andrea Rossi
VerifiedUniversity of Arizona · Finance
Active 2002–2024
Research topics
- Monetary economics
- Finance
- Financial economics
- Economics
- Business
- Financial system
- Geography
- Microeconomics
Selected publications
Ratings-Driven Demand and Systematic Price Fluctuations
Review of Financial Studies · 2021 · 84 citations
- Economics
- Monetary economics
- Business
Abstract 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.
Unsmoothing Returns of Illiquid Funds
SSRN Electronic Journal · 2020 · 24 citations
Senior authorCorresponding- Business
- Economics
- Financial economics
Frequent coauthors
- 87 shared
Itzhak Ben‐David
- 71 shared
Justin Birru
The Ohio State University
- 12 shared
Jiacui Li
- 12 shared
Yang Song
University of Washington
- 3 shared
Spencer J. Couts
Japan Real Estate Institute
- 3 shared
Kevin Mullally
University of Central Florida
- 2 shared
Andrei S. Gonçalves
- 2 shared
Asghar Talbalaghi
Shiraz University of Medical Sciences
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