Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
研究共同基金是否根据股票历史收益买入（动量投资）以及是否存在羊群行为。发现77%的基金是动量投资者，且动量投资基金的业绩显著更好，但羊群行为证据较弱。
This study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit 'herding' behavior (i.e., buying and selling the same stocks at the same time). The authors find that 77 percent of the mutual funds were 'momentum investors, ' buying stocks that were past winners; however, most did not systematically sell past losers. On average, funds that invested on momentum realized significantly better performance than other funds. The authors also find relatively weak evidence that funds tended to buy and sell the same stocks at the same time. Copyright 1995 by American Economic Association.