Abstract: Extensive literatures prove that herding behavior exists in fund managers, but the literatures appear to include little research that conducts an empirical investigation to explain the behavior of institutional investors herding.To address this issue,this study examines whether prior investor sentiment explains the level of fund manager herding.The study employs the principal component analysis as the means of extracting the composite sentiment measure,and uses the fund number of top ten circulation shareholders to measure manager herding.The results indicate that investor sentiment plays a significant role in explaining subsequent fund herding,and fund managers make the negative-feedback strategies in the previous quarter investor pessimism(optimism)sentiment.

Key words: securities investment funds, herding effect, investor sentiment

摘要： 大量研究表明我国证券投资基金存在羊群效应,然而却很少对影响基金羊群效应的因素展开进一步的实证研究。基于此,本文利用主成分分析法测量投资者情绪,利用前十大流通股东中证券投资基金的家数来测量基金羊群效应的程度,研究投资者情绪指标是否对基金羊群效应产生影响。研究结果表明,投资者情绪是证券投资基金形成羊群效应的重要因素之一,基金经理在观察到上一期投资者悲观情绪(乐观情绪)时会做出负反馈策略。

关键词: 证券投资基金, 羊群效应, 投资者情绪