This paper generalizes Stein's (Stein, C. 1973. Estimation of the mean of a multivariate normal distribution. Proc. Prague Sympos. Asymptotic Statistics, September 1973.), Rubinstein's (Rubinstein, M. 1973b. A comparative static analysis of risk premiums. J. Bus. 46(October) 604--615; Rubinstein,...

Using quarterly ownership data which identify identity codes of mutual funds in Taiwan, we investigate mutual fund herding and its impact on stock price. We show that mutual funds tend to follow their own steps in trading rather than follow trades made by other funds. More importantly, evidence...