Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices
研究发现共同基金会根据分析师推荐的一致变化进行羊群交易，尤其是对负面信息反应更强，且这种交易在1990年代中期后导致股价短期冲击和随后反转，表明职业担忧的基金经理的羊群行为会加剧市场波动。
This paper documents that mutual funds “herd” (trade together) into stocks with consensus sell-side analyst upgrades, and herd out of stocks with consensus downgrades. This influence of analyst recommendation changes on fund herding is stronger for downgrades, and among managers with greater career concerns. These findings indicate that career-concerned managers are incentivized to follow analyst information, and that managers have a greater tendency to herd on negative stock information, given the greater reputational and litigation risk of holding losing stocks. Furthermore, starting in the mid-1990s (when aggregate mutual fund equity ownership is significantly higher), stocks traded by career-concerned herds of fund managers in response to analyst recommendation changes experience a significant same-quarter price impact, followed by a sharp subsequent price reversal. Our evidence suggests that analyst recommendation revisions induce herding by career-concerned fund managers, and that this type of trading has become price destabilizing with the increasing level of mutual fund ownership of stocks. This paper was accepted by Wei Jiang, finance.