There is a well-developed empirical literature on herding among fund managers in their portfolio allocations, but, as far as I know, this work has not looked at how such herding responds to changes in the monetary policy environment. 7 So this avenue seems like a potentially promising one to pursue.
The paper’s focus on flows in and out of funds is, however, well suited to thinking about mechanisms related to AUM-run dynamics. In this regard, a particularly interesting set of findings has to do with the ability of flows to forecast future asset returns, even controlling for past returns.