Does Fund Herding Help Stabilise Fund Flows? An Investigation in a Fund Mutual‐Holding Network Framework
本文基于基金共同持有网络构建三个羊群行为度量，发现羊群行为降低资金流动不确定性但增加流动量，且投资者关注放大该效应，同时存在“领头羊”效应：羊群行为提升绩优基金的资金流入、减少绩差基金的流出。
ABSTRACT We examine how fund herding affects fund flow performance by developing three herding measures based on a mutual‐holding network rather than merely identifying whether funds herd or not. We measure herding in terms of network connections, density, and peer influence to uncover latent patterns in fund herding. Our empirical findings reveal that fund herding is negatively linked to uncertainty in fund flows but positively related to fund flows. We also find that investor attention plays a key role in amplifying the herding effect on fund performance. Additionally, we show that the herding effect is not simply an attempt at window‐dressing. Lastly, we identify a “bellwether” effect, where herding tends to boost fund flows for successful funds while reducing flows for underperforming ones.