Public research brief
Harvey, Mazzoleni and Melone's The Unintended Consequences of Rebalancing examines a structural source of order flow. When stock prices rise relative to bonds, portfolios targeting a fixed allocation can become overweight equities. Returning to the target requires selling stocks and buying bonds. Calendar schedules and allocation thresholds can make some of those trades predictable.
That is a plausible economic mechanism. The investment question is whether an implementable trade captures enough of it after costs. Our reconstruction shows why the instrument pair and the evaluation window belong beside the headline result.
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