共同基金的羊群效应与业绩：来自中国的证据

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2024-07-30 DOI:10.1016/j.irfa.2024.103503

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引用次数: 0

摘要

我们研究了共同基金羊群效应对基金业绩的影响。我们以中国 2003 年至 2023 年 21 年间的 3490 只共同基金为样本，使用一种新颖的动态衡量方法来衡量基金层面的羊群效应，该方法捕捉了基金经理模仿机构群体交易决策的倾向，我们发现共同基金的羊群效应与基金业绩负相关。当我们采用一系列方法来缓解内生性问题时，我们的实证结果仍然成立。此外，我们还发现，当投资组合经理年龄更大、男性更多和经验更丰富时，羊群行为对基金业绩的不利影响更大。

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Mutual fund herding and performance: Evidence from China

We investigate the impact of mutual fund herding on fund performance. Using a novel and dynamic measure of fund-level herding that captures the tendency of a fund manager to imitate the trading decisions of the institutional crowd based on a sample of 3490 mutual funds in China for 21 years between 2003 and 2023, we find that mutual fund herding is negatively related to fund performance. Our empirical results still hold when we employ a battery of methods to mitigate endogeneity issues. Additionally, we find that herding behavior becomes more detrimental to performance when the portfolio managers are older, male and more experienced.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.