作者：曹胜，张成，朱红军
摘要/Abstract
本文从盈余质量的角度，检验基金羊群行为是否受到上市公司信息披露的影响。通过2006~2010年的样本发现：线下项目利润占比更高、盈余波动性更大的公司更易引起基金的羊群行为，但应计项目导致的低盈余质量与基金的羊群行为不相关。进一步发现，财务分析师的跟随能直接减少羊群行为并减弱盈余波动性对羊群行为的影响，可是未发现分析师跟随能减低盈余质量对基金羊群行为的影响。本文的结果支持信息缺乏导致机构投资者羊群行为的解释，而且财务分析师能给市场提供增量信息，减少羊群行为的发生。
A series of documents consider “lack of information” as one possible explanation of mutual fund herding behavior. We propose the earnings quality to proxy the information reliability of the company and we test its influence on the engaged mutual funds’ herding. Based on a sample across 2006 to 2010, we find that the nonrecurring earnings based quality measurement and the EPS volatility of prior-3 years are significantly associated with mutual funds’ herding. However, the accrual-based earnings quality measurement does not relate to mutual funds’ herding. The analyst following, as information provider, will decrease the herding. However, we find weak evidence that the analyst following will mitigate the negative impact of earnings volatility on herding. Our results support the explanation of “lack of information” and we document that financial analysts can provide additional information and lessen the herding behavior in China.