所属栏目:资本市场/投资基金

Mutual Fund Herding and Stock Price Momentum: The Role of Market Sentiment
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发布日期:2026年11月12日 上次修订日期:2026年11月12日

摘要

This study examines how market sentiment affects the price impact of mutual funds' herding behavior in the Chinese A-share market, and further explores its connection to the momentum effect. Our evidence shows that mutual fund herding predicts future stock returns only when market sentiment is high. During such periods, stocks heavily bought by mutual funds outperform those heavily sold by mutual funds by 7% in the next six months, with no strong reversal thereafter. This pattern disappears under low sentiment. Building on these findings, we develop a profitable momentum strategy in the Chinese A-share market—where conventional momentum strategies typically fail—by focusing on stocks actively traded by mutual funds. The excess returns of this strategy are concentrated in high-sentiment periods, and additional evidence suggests that mutual fund herding behavior plays an important role in determining whether stock price momentum persists.
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Ruipeng Xu Mutual Fund Herding and Stock Price Momentum: The Role of Market Sentiment (2026年11月12日) https://www.cfrn.com.cn/lw/16995.html

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