This paper investigates hedge fund herding at the industry level and its impact on industry returns. Although the level of industry herding on average is substantially weaker for hedge funds compared to non-hedge fund institutions, we find that industries that experience heavy herding by hedge funds experience return reversals in the long-run. We provide evidence that non-hedge funds especially follow hedge funds’ sell herding industries in following quarters, and the long-run return reversals observed in these industries are due to non-hedge funds’ failure to timely react to good news coming from these heavy hedge fund sell-herding industries in subsequent quarters.

本文研究了行业层面的对冲基金羊群效应及其对行业回报的影响。尽管与非对冲基金机构相比，对冲基金的平均行业羊群水平要弱得多，但我们发现，从长期来看，对冲基金大量羊群效应的行业会经历回报逆转。我们提供的证据表明，非对冲基金在接下来的几个季度中尤其关注对冲基金的抛售行业，而在这些行业中观察到的长期回报反转是由于非对冲基金未能及时对这些重磅股带来的利好消息做出反应。对冲基金在随后几个季度抛售行业。