Herding in a Concentrated Market: a Question of Intent
利用葡萄牙月度持仓数据，研究机构羊群行为是故意还是虚假的，发现其出于声誉考虑而故意为之，并与粉饰橱窗相互作用影响基金买卖决策，对理解市场动态和基金管理者行为有重要意义。
Abstract While considerable evidence exists that institutions herd, the issue of why herding takes place remains unresolved. Using monthly holdings data for Portugal, we find clear evidence of herding and investigate whether such behaviour is intentional or spurious. By analysing herding under different market conditions, we conclude it is intentional. Month‐of‐the‐quarter analysis suggests reputational reasons drive behaviour. Results are consistent with herding interacting with window dressing to determine funds, buy and sell decisions. The findings are important in understanding market dynamics and fund managers’ behaviour and are of great significance to investors in managed funds .