Who Blinks in Volatile Markets, Individuals or Institutions?
研究市场大幅波动时，机构持股比例与公司异常回报和异常换手率的关系，发现机构（尤其是共同基金和养老基金）存在正反馈羊群行为。
ABSTRACT We investigate the relationship between the ownership structure and returns of firms on days when the absolute value of the market's return is two percent or more. We find that a firm's abnormal return on these days is related to the percentage of institutional ownership, that there is abnormally high turnover in the firm's shares on these days, and that this abnormal turnover is significantly related to the percentage of institutional ownership in the firm. Taken together, these results are consistent with positive feedback herding behavior on the part of some institutions, particularly mutual and pension funds.