公募基金内部羊群行为研究

以往对公募基金羊群行为的研究聚焦于宏观层面不同基金公司所持股票组合的相似性,而该研究则从微观视角研究了羊群行为:(1)单个公募基金公司所管理的多个基金相互模仿投资策略所呈现的羊群行为;(2)基金经理的交易行为所呈现的羊群行为。使用LSV模型测量2010—2019年多个公募基金公司内部的羊群行为,发现同个公募基金公司所管理的多个不同基金存在相互模仿投资策略的羊群行为,程度高于宏观层面不同公募基金之间相互模仿的羊群行为。此外,还发现基金经理的买入卖出交易行为存在羊群效应。研究从新的视角检验了微观层面的羊群行为,为基金公司加强内部管理、避免基金经理跟风投资造成风险聚集提供参考。

Herd Behavior of Public Offering Funds at Micro-Level

Previous studies on herd behavior focused on the herd behavior in the financial market.The herd behavior is studied at the micro-level:(1)The herd behavior based on the funds managed by the same public offering fund company;(2)The herd behavior based on fund managers in the financial market.LSV method is adopted to measure herd behavior between 2010 and 2019.Empirical results show that the internal herd behavior of fund companies is more significant than that of the fund market.Besides,considering that a fund manager might manage more than one fund,the LSV method based on the fund manager’s transaction behavior is employed to measure the herd behavior,and the results indicate that herd behavior exists as well.The existence of herd behavior at the micro-level is validated empirically from a new perspective,which could provide reasonable explanation for the herd behavior at the macro-level and give some implications for the market regulators and fund companies to enhance management and avoid risk accumulation.