Mutual fund herding and the impact on stock prices

• 成果类型: Article; Proceedings Paper
• 署名作者: Wermers, R
• 署名单位: University of Colorado System; University of Colorado Boulder
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00118
• 发表日期: 1999
• 页码: 581-622
• 关键词: performance; BEHAVIOR; strategies; INVESTMENT; investors

摘要

We analyze the trading activity of the mutual fund industry from 1975 through 1994 to determine whether funds herd when they trade stocks and to investigate the impact of herding on stock prices. Although we find little herding by mutual funds in the average stock, we find much higher levels in trades of small stocks and in trading by growth-oriented funds. Stocks that herds buy outperform stocks that they sell by 4 percent during the following six months; this return difference is much more pronounced among small stocks. Our results are consistent with mutual fund herding speeding the price-adjustment process.