Industry herding by hedge funds
研究对冲基金在行业层面的羊群行为，发现其羊群程度弱于非对冲基金机构，但被对冲基金大量羊群买入或卖出的行业长期会出现回报反转，且非对冲基金在后续季度会跟随对冲基金的卖出羊群行为。
This paper investigates hedge fund herding at the industry level and its impact on industry returns. Although the level of industry herding on average is substantially weaker for hedge funds compared to non-hedge fund institutions, we find that industries that experience heavy herding by hedge funds experience return reversals in the long-run. We provide evidence that non-hedge funds especially follow hedge funds’ sell herding industries in following quarters, and the long-run return reversals observed in these industries are due to non-hedge funds’ failure to timely react to good news coming from these heavy hedge fund sell-herding industries in subsequent quarters.