Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
نویسندگان
چکیده
منابع مشابه
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper nds that fund herding, de ned as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor of mutual fund performance. Examining actively managed U.S. equity mutual funds over the period 1990-2009, we nd that funds with a higher herding tendency achieve lower future returns. The performance gap between herding and antiherding funds is pe...
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Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2018
ISSN: 0022-1082
DOI: 10.1111/jofi.12699