Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior

摘要: We examine the investment strategies of 155 mutual funds over 1975-84 period to determine extent which purchased stocks based on their past returns, and relation this behavior observed portfolio performance. find that about 77% these were "momentum investors", buying winners; however, they did not systematically sell losers. On average, "trend-followers" realized significantly better performance than remaining funds. also exhibited herding behavior, tendency a fund herd in its trades was strongly correlated with buy winners as well Consistent evidence trend-following, into stronger