Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
研究发现共同基金中羊群行为与基金经理技能呈负相关，反羊群基金每年跑赢羊群基金超过2%，且业绩差距源于技能差异。
ABSTRACT We uncover a negative relation between herding behavior and skill in the mutual fund industry. Our new, dynamic measure of fund‐level herding captures the tendency of fund managers to follow the trades of the institutional crowd. We find that herding funds underperform their antiherding peers by over 2% per year. Differences in skill drive this performance gap: Antiherding funds make superior investment decisions even on stocks not heavily traded by institutions, and can anticipate the trades of the crowd; furthermore, the herding‐antiherding performance gap is persistent, wider when skill is more valuable, and larger among managers with stronger career concerns.