We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Leading the herd: evidence from mutual funds’ buy and sell decisions.
- Authors
Popescu, Marius; Xu, Zhaojin
- Abstract
This article investigates whether a mutual fund’s performance is related to its herding behavior. Using the methodology of Sias (Rev Finance Stud 17:165-206, <xref>2004</xref>), we develop a measure to capture the magnitude that a fund’s buy (sell) decisions are leading other funds’ buys (sells), and find that a fund’s performance is positively (negatively) related to its “buy leading” (“sell leading”). We interpret these findings as evidence that “buy leaders” (“sell leaders”)’ performance benefits (suffers) from the positive (negative) price effect associated with buy (sell) herds. Additionally, we find a positive relationship between fund performance and valuation-motivated “buy leading”, while we find weak evidence on the relationship between performance and valuation-motivated “sell leading”. We interpret these results as evidence that leading funds’ outperformance is due, in part, to their ability to value stocks.
- Subjects
MUTUAL funds; DECISION making in business; VALUE (Economics); STOCK prices; QUARTERLY reports
- Publication
Review of Quantitative Finance & Accounting, 2018, Vol 50, Issue 4, p1131
- ISSN
0924-865X
- Publication type
Article
- DOI
10.1007/s11156-017-0656-7