Research output

Article in Journal ()

Measuring mutual fund herding - A structural approach

Citation
Frey S, Herbst P & Walter A (2014) Measuring mutual fund herding - A structural approach, Journal of International Financial Markets, Institutions and Money, 32, pp. 219-239.

Abstract
This paper proposes a methodological improvement to empirical studies of herd behavior based on investor transactions. By developing a simple model of trading behavior, we show that the traditionally used herding measure produces biased results. As this bias depends on characteristics of the data, it also affects the robustness of previous findings. We derive a new measure that is unbiased and shows superior statistical properties for data sets commonly used. In an analysis of the German mutual fund market, our measure provides new insights into fund manager herding that would have been undetected under the traditional statistic.

Keywords
Herding; LSV measure; Mutual funds

StatusPublished
AuthorsFrey Stefan, Herbst Patrick, Walter Andreas
Publication date09/2014
PublisherElsevier
ISSN 1042-4431
LanguageEnglish

Journal
Journal of International Financial Markets, Institutions and Money: Volume 32 (2014)

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