| The Reason of Herding Behavior： A Positive Study of the Performance of Mutual Funds in Period |
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| 作者姓名： | Hui Dai Peng Lin |
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| 作者单位： | [1]School of Management, Xi＇an Jiaotong University, Xi＇an, China, 710049 [2]Department of Measurement, Statistics and Evaluation, University of Maryland, College Park, Maryland, 20742, USA |
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| 基金项目： | The author thanks the NSFC Project （No. 59990470 - 04） and the NSFC excellent group project （No. 70028102） for their support. |
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| 摘 要： | This paper studies the masons behind the herding of mutual funds. We examine five hypotheses： herding based on private information, herding based on public information, herding because of following leaders, herding because of window dressing, and herding resulting from adopting momentum trading strategy. We employ intra-day transaction data and design test methodology to distinguish the validity of each hypothesis. We find that mutual funds herd mainly because they possess similar private information.
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