 Robust return efficiency and herding behavior of fund managersShuai Lu, Shouwei Li and Ning Chen Finance Research Letters, 2022, vol. 46, issue PA Abstract: In fund markets, investors are prone to obtain more robust returns. Fund managers have the same tendency in many cases and herding behavior emerges. In this paper, we innovatively propose a robust return efficiency (RRE) model and extend its general form. The RRE model allows us to estimate whether a fund obtains robust returns efficiently. Subsequently, the relationship between RRE and the herding behavior is empirically examined. The results show that the herding behavior of fund managers benefits the funds’ RRE. We also deduce that the funds with: more stocks invested; lower investment concentration; that have fewer investors; and that invest fewer large-cap stocks - have tended to generate higher RRE. Simultaneously, the ascending macroeconomy has a direct negative effect on RRE and an indirect restrain effect. Moreover, we find the reverting effect of the herding behavior on the RRE after two or three years, indicating a negative impact in the long run. Moreover, the effect of the herding behavior on the RRE shows little difference whether the stocks are under- or over-valued. Keywords: Robust return efficiency; Herding behavior; Fund manager; Risk; Reverting effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003093 DOI: 10.1016/j.frl.2021.102267 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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