This paper investigates the role of style investing in comovement and return predictability. Using Moody's rating recalibration event to isolate the style effect, we find that changes in rating labels have powerful effects on comovement of municipal bond returns, trading activity, and volatility. Volatility-based comovement adds to the return comovement. Rating style investing induces return predictability and affects return formation, which interacts with investor sentiment. Shifts in the rating label drive these results through correlated trading activities, and the effects are reinforced by behavioral biases and trading frictions.

中文翻译：

---

评级标签和风格投资：来自穆迪评级重新校准的证据

本文研究了风格投资在联动和回报可预测性中的作用。使用穆迪评级重新校准事件来隔离风格效应，我们发现评级标签的变化对市政债券回报、交易活动和波动性的联动具有强大的影响。基于波动率的联动增加了回报联动。评级风格投资诱导回报可预测性并影响回报形成，这与投资者情绪相互作用。评级标签的变化通过相关的交易活动推动了这些结果，并且行为偏见和交易摩擦加强了这些影响。