Mutual Fund Herding and the Impact on Stock Prices
分析1975至1994年间共同基金的交易活动，发现基金在交易小盘股和成长型基金中存在显著羊群行为，且被买入的股票在随后六个月跑赢被卖出的股票4%，表明羊群行为加速了价格调整。
We analyze the trading activity of the mutual fund industry from 1975 through 1994 to determine whether funds “herd” when they trade stocks and to investigate the impact of herding on stock prices. Although we find little herding by mutual funds in the average stock, we find much higher levels in trades of small stocks and in trading by growth‐oriented funds. Stocks that herds buy outperform stocks that they sell by 4 percent during the following six months; this return difference is much more pronounced among small stocks. Our results are consistent with mutual fund herding speeding the price‐adjustment process.