273
Views
2
CrossRef citations to date
0
Altmetric
Research Article

Industry herding by hedge funds

, &
Pages 1887-1907 | Received 04 May 2020, Accepted 07 Apr 2021, Published online: 11 May 2021

References

  • Acharya, V., T. Philippon, M. Richardson, and N. Roubini. 2009. “Prologue: A Bird's eye View. The Financial Crisis of 2007-2009: Causes and Remedies.” Wiley Periodicals 18: 89–137.
  • Antoniou, C., A. J. Doukas, and A. Subrahmanyam. 2013. “Cognitive Dissonance, Sentiment, and Momentum.” Journal of Financial and Quantitative Analysis 48: 245–275.
  • Bali, T. G., S. J. Brown, and M. O. Caglayan. 2012. “Systematic Risk and the Cross-Section of Hedge Fund Returns.” Journal of Financial Economics 106: 114–131.
  • Bali, T. G., S. J. Brown, and M. O. Caglayan. 2014. “Macroeconomic Risk and Hedge Fund Returns.” Journal of Financial Economics 114: 1–19.
  • Barberis, N., and A. Shleifer. 2003. “Style Investing.” Journal of Financial Economics 68: 161–199.
  • Barberis, N., A. Shleifer, and J. Wurgler. 2005. “Comovement.” Journal of Financial Economics 75: 283–317.
  • Bikhchandani, S., D. Hirshleifer, and I. Welch. 1992. “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades.” Journal of Political Economy 100: 992–1026.
  • Brown, C., K. Wei, and R. Wermers. 2014. “Analyst Recommendations, Mutual Fund Herding and Overreaction in Stock Prices.” Management Science 60 (1): 1–20.
  • Brunnermeier, M. K. 2009. “Deciphering the Liquidity and Credit Crunch 2007-2008.” Journal of Economic Perspectives 23: 77–100.
  • Brunnermeier, M. K., and S. Nagel. 2004. “Hedge Funds and the Technology Bubble.” Journal of Finance 59: 2013–2040.
  • Campbell, J. Y., T. Ramadorai, and A. Schwartz. 2009. “Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements.” Journal of Financial Economics 92: 66–91.
  • Cao, Q., Y. Chen, W. Goetzmann, and B. Liang. 2018. “Hedge Funds and Stock Price Formation.” Financial Analysts Journal 74: 54–68.
  • Cao, C., B. Liang, A. W. Lo, and L. Petrasek. 2018. “Hedge Fund Holdings and Stock Market Effciency.” The Review of Asset Pricing Studies 8: 77–116.
  • Carhart, M. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance 52: 57–82.
  • Celiker, U., J. Chowdhury, and G. Sonaer. 2015. “Do Mutual Funds Herd in Industries?” Journal of Banking and Finance 52: 1–16.
  • Chakravarty, S. 2001. “Stealth-trading: Which ‘Traders’ Trades Move Stock Prices?” Journal of Financial Economics 61: 289–307.
  • Choi, N., and R. Sias. 2009. “Institutional Industry Herding.” Journal of Financial Economics 94: 469–491.
  • Dasgupta, A., A. Prat, and M. Verardo. 2011. “Institutional Trade Persistence and Long-Term Equity Returns.” Journal of Finance 66: 635–653.
  • D'avolio, G. 2002. “The Market for Borrowing Stock.” Journal of Financial Economics 66: 271–306.
  • Demirer, R., and A. M. Kutan. 2006. “Does Herding Behavior Exist in Chinese Stock Markets? Journal of International Financial Markets.” Journal of International Financial Markets, Institutions and Money 16: 123–142.
  • Demirer, R., H.-T. Lee, and D. Lien. 2015. “Does the Stock Market Drive Herd Behavior in Commodity Futures Markets?” International Review of Financial Analysis 39: 32–44.
  • Diether, K., C. Malloy, and A. Scherbina. 2002. “Differences of Opinion and the Cross Section of Stock Returns.” Journal of Finance 57: 2113–2141.
  • Falkenstein, E. 1996. “Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings.” Journal of Finance 51: 111–135.
  • Fama, E., and K. French. 1993. “Common Risk-Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33: 3–56.
  • Fama, E., and K. French. 1997. “Industry Costs of Equity.” Journal of Financial Economics 43: 153–193.
  • Frazzini, A., and L. H. Pedersen. 2014. “Betting Against Beta.” Journal of Financial Economics 111: 1–25.
  • Friedman, B. 1984. “A Comment: Stock Prices and Social Dynamics.” Brookings Papers on Economic Activity 2: 504–508.
  • Froot, K., and M. Teo. 2008. “Style Investing and Institutional Investors.” Journal of Financial and Quantitative Analysis 43: 883–906.
  • Griffin, J. M., and J. Xu. 2009. “How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings.” Review of Financial Studies 22: 2331–2370.
  • Grinblatt, M., S. Titman, and R. Wermers. 1995. “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior.” American Economic Review 85: 1088–1105.
  • Hirshleifer, D., A. Subrahmanyam, and S. Titman. 1994. “Security Analysis and Trading Patterns When Some Investors Receive Information Before Others.” Journal of Finance 49: 1665–1698.
  • Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 43: 65–91.
  • Jiao, Y., and P. Ye. 2014. “Mutual Fund Herding in Response to Hedge Fund Herding and the Impacts on Stock Prices.” Journal of Banking and Finance 49: 131–148.
  • Khandani, A. E., and A. W. Lo. 2011. “What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data.” Journal of Financial Markets 14: 1–46.
  • Kokkonen, J., and M. Suominen. 2015. “Hedge Funds and Stock Market Efficiency.” Management Science 61: 2890–2904.
  • Lakonishok, J., A. Shleifer, and R. Vishny. 1992. “The Impact of Institutional Trading on Stock-Prices.” Journal of Financial Economics 32: 23–43.
  • Liang, Bing. 1999. “On the Performance of Hedge Funds.” Financial Analyst Journal 55: 72–85.
  • Miller, E. M. 1977. “Risk, Uncertainty, and Divergence of Opinion.” Journal of Finance 32: 1151–1168.
  • Nagel, S. 2005. “Short Sales, Institutional Investors, and the Cross Section of Stock Returns.” Journal of Financial Economics 78: 277–309.
  • Pastor, L., and R. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111: 642–685.
  • Popescu, M., and Z. Xu. 2014. “Does Reputation Contribute to Institutional Herding?” Journal of Financial Research 37: 295–322.
  • Scharfstein, D., and J. Stein. 1990. “Herd Behavior and Investment.” American Economic Review 80: 465–479.
  • Sias, R. W. 2004. “Institutional Herding.” Review of Financial Studies 17: 165–206.
  • Sias, R. W., L. T. Starks, and S. Titman. 2006. “Changes in Institutional Ownership and Stock Returns: Assessment and Methodology.” Journal of Business 79: 2869–2910.
  • Sias, R. W., H. Turtle, and B. Zykaj. 2016. “Hedge Fund Crowds and Mispricing.” Management Science 62: 764–784.
  • Stambaugh, G., J. Yu, and Y. Yuan. 2012. “The Short of it: Investor Sentiment and Anomalies.” Journal of Financial Economics 104: 288–302.
  • Stein, J. C. 2009. “Presidential Address: Sophisticated Investors and Market Efficiency.” Journal of Finance 64: 1517–1548.
  • Teo, M., and S. J. Woo. 2004. “Style Effects in the Cross-section of Stock Returns.” Journal of Financial Economics 74: 367–398.
  • Welch, I. 1992. “Sequential Sales, Learning, and Cascades.” Journal of Finance 47: 695–732.
  • Wermers, R. 1999. “Mutual Fund Herding and the Impact on Stock Prices.” Journal of Finance 54: 581–622.
  • Yan, X., and Z. Zhang. 2009. “Institutional Investors and Equity Returns: Are Short-Term Institutions Better Informed?” Review of Financial Studies 22: 893–924.
  • Zwiebel, J. 1995. “Corporate Conservatism and Relative Compensation.” Journal of Political Economy 103: 1–25.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.