Herding on Noise: The Case of Johnson Redbook's Weekly Retail Sales Data
发现债券交易员在短期内会依据约翰逊红皮书的周度零售销售数据进行交易，导致该数据与债券收益显著相关，但这一关系在《华尔街日报》报道后消失，而零售股票收益与该数据的关系则未受影响。
Recent models of herding suggest that speculators may rationally trade on information unrelated to fundamentals when their trading horizons are short. This study provides an empirical example where this appears to be the case. Johnson Redbook's weekly retail sales figures predicted bond returns for a short time after a significant number of bond traders began purchasing and trading on the data. The significant relationship between the data and bond returns disappeared just after the Wall Street Journal started to report it. Mean while, there was little or no change in the relationship between the data and retailers' stock returns, perhaps because the data have long been followed by retail stock analysts, Johnson Redbook's original investor clientele.