Journalartikel

Jahr der Veröffentlichung: 2014

Seiten: 219-239

Zeitschrift: Journal of International Financial Markets, Institutions and Money

Bandnummer: 32

ISSN: 1042-4431

Open Access Status: Green

DOI Link: https://doi.org/10.1016/j.intfin.2014.05.006

Verlag: Elsevier

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. (C) 2014 Elsevier B.V. All rights reserved.

Harvard-Zitierstil: Frey, S., Herbst, P. and Walter, A. (2014) Measuring mutual fund herding - A structural approach, Journal of International Financial Markets, Institutions and Money, 32, pp. 219-239. https://doi.org/10.1016/j.intfin.2014.05.006

APA-Zitierstil: Frey, S., Herbst, P., & Walter, A. (2014). Measuring mutual fund herding - A structural approach. Journal of International Financial Markets, Institutions and Money. 32, 219-239. https://doi.org/10.1016/j.intfin.2014.05.006