【2017 AFA】机构羊群行为与价格冲击：来自公司债市场的证据

• 这是“金融学前沿论文速递”第416篇推送

• 选文:丁袁影 审稿:张凡 终审:刘亚琴 编辑:张斌

• 仅用于学术交流，原文版权归原作者和原发刊所有

原刊和作者：

AFA Annual Meeting Working Paper 2017年1月

Fang Cai (Federal Reserve Board)

Song Han (Federal Reserve Board)

Dan Li (Federal Reserve Board)

Yi Li (Federal Reserve Board)

摘要

资产管理业可能导致金融市场潜在不稳定，而羊群行为(herding)被认为是风险放大的一种重要渠道。本文研究机构投资者在美国公司债券交易中的羊群行为程度，并量化该行为对价格的影响。研究发现，首先，机构投资者在公司债市场的羊群行为比股市更严重，尤其是投机级债券。而且，共同基金卖出时的跟风行为在上升，而保险公司和养老基金没有这种迹象。其次，债券投资者的羊群行为不仅发生在季度内也发生相邻季度间。这种交易持续性主要是由资金效仿上一季度其他资金的交易行为所致。最后，羊群行为对价格冲击具有不对称性。跟风买入(buy herding)会对价格产生持久影响，有利于价格发现；但跟风卖出(sell herding)对价格的影响却是短暂的，显著扭曲了价格。对于高收益、小市值、流动性差的债券以及最近全球金融危机期，跟风卖出对价格稳定的破坏效应尤为明显。

Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market

Abstract

Among growing concerns about potential financial stability risks posed by the asset management industry, herding has been considered as an important risk amplification channel. In this paper, we examine the extent to which institutional investors herd in their trading of U.S. corporate bonds and quantify the price impact of such herding behavior. We find that, relative to what is documented for the equity market, the level of institutional herding is much higher in the corporate bond market, particularly among speculative-grade bonds. In addition, mutual funds have become increasingly likely to herd when they sell, a trend not observed among insurance companies and pension funds. We also show that bond investors herd not only within a quarter, but also over adjacent quarters. Such persistence in trading is largely driven by funds imitating the trading behavior of other funds in the previous quarter. Finally, we find that there is an asymmetry in the price impact of herding. While buy herding is associated with a permanent price impact that is consistent with price discovery, sell herding results in transitory yet significant price distortions. The price destabilizing effect of sell herding is particularly strong for high-yield bonds, small bonds, and illiquid bonds and during the recent global financial crisis.

原文：

• Cai, Fang, Song Han, Dan Li and Yi Li, Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market, 2017 AFA Annual Meeting Working Paper, March 2016.

  Session: Liquidity and Trading in Bond and Derivatives Markets I.

 

SSRN更新版:（本推送根据此版本）

• Cai, Fang, Song Han, Dan Li and Yi Li, Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market, SSRN Working Paper, October, 2016.