Herd Behavior and Mutual Fund Performance

I develop fund-level measures of the similarity in trading of mutual fund managers, resulting in the identification of leaders, contemporaneously herding managers, and followers. I find evidence of a persistent group of funds whose trades lead the aggregate trades of the mutual fund industry; these leader funds exhibit strong subsequent performance, consistent with informed trading. By contrast, there is no evidence that managers that trade together, either contemporaneously or with a lag, outperform. These findings suggest that managers of leader funds receive in advance private signals regarding the information upon which other funds focus. This paper was accepted by Lauren Cohen, finance.

• 저널Management Science · 63(11) · 3849–3873
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.2016.2543
• 저자Andrew Koch