Exploring Style Herding by Mutual Funds

38 Pages Posted: 15 Jun 2017 Last revised: 15 May 2020

See all articles by Caterina Santi

Caterina Santi

University of Liège - HEC Liège

Remco C. J. Zwinkels

Vrije Universiteit Amsterdam; Tinbergen Institute

Multiple version iconThere are 3 versions of this paper

Date Written: May 15, 2020


This paper studies the added value of intentional style herding for mutual fund managers. We find that herding in styles is significant and persistent, especially for active funds. We also report that herding tends to increase after periods of high market volatility, and decrease with sentiment. Furthermore, herding causes temporary mispricing and changes in the autocorrelation structure of factor returns. Importantly, we find that herding increases mutual funds' performance, whereas it reduces flows. Overall, the results illustrate that although herding can be beneficial for the fund manager, its potential has not yet been reached.

Keywords: herding, mutual funds, style investing, asset pricing

JEL Classification: C32, G12, G23

Suggested Citation

Santi, Caterina and Zwinkels, Remco C.J., Exploring Style Herding by Mutual Funds (May 15, 2020). Available at SSRN: https://ssrn.com/abstract=2986059 or http://dx.doi.org/10.2139/ssrn.2986059

Caterina Santi (Contact Author)

University of Liège - HEC Liège ( email )

Rue Louvrex 14
Liège, 4000

HOME PAGE: http://www.caterinasanti.com

Remco C.J. Zwinkels

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, NH 1081 HV
+31205985220 (Phone)

HOME PAGE: http://https://research.vu.nl/en/persons/remco-zwinkels

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA

HOME PAGE: http://https://tinbergen.nl/person/1574/remco-zwinkels

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