دانلود رایگان مقاله انگلیسی صندوق سرمایه‌گذاری مشترک و سقوط قیمت سهام - الزویر 2018

Abstract

We investigate the impact of mutual fund herding behaviours on stock price crashes. There are competing hypotheses with respect to how investors’ herding behaviours are associated with information processing. Our empirical evidence shows that mutual fund herding is associated with a poor information environment and low disclosure quality. More importantly, mutual fund herding amplifies stock price crash risk afterwards. The main finding is concentrated on buy-herding rather than sell-herding. To mitigate the endogeneity concern, we use the 2004 SEC mutual fund disclosure regulation change as an exogenous shock and the results hold. We further use propensity score matching to alleviate the impact of information asymmetry. Finally, additional analysis reveals that our results are not driven by the price impact hypothesis.

Conclusion

This paper investigates the impacts of mutual fund herding behaviours on corporate disclosure and consequently on stock price crash risk. First, we find that mutual fund herding deteriorates corporate disclosure quality. Firms with high mutual fund herding have less private information available, lower earnings transparency, higher likelihoods of accounting errors, and lower accounting conservatism. Second, we find a strong predictive relationship between mutual fund herding and stock price crashes. We use one natural experiment using the 2004 SEC regulation change on mutual fund portfolio disclosure to address the reverse causality issue. To mitigate the omitted variable bias that our findings are driven by other factors (such as information asymmetry between outside investors and managers), we further control for firm fixed effects and adopt propensity score matching to explicitly control for information asymmetry. Our main findings are also robust to alternative herding and crash measures and different regression model specifications. Third, we find that the predictive relationship between mutual fund herding and stock price crashes is concentrated in buy-herding rather than sell-herding. We further take into account the price impact factor and discover that our findings cannot be fully explained by it. Finally, after triple sorting the sample by firm size, disclosure quality, and herding measures, we find that the relation between mutual fund herding and stock price crashes is much stronger in the subsample of firms with smaller size and with lower disclosure quality. This test partially supports our conjecture that disclosure quality acts as one of the channels through which mutual fund herding leads to stock price crashes, when firms suffer severe information asymmetry.