|Appears in Collections:||Accounting and Finance Working Papers|
|Title:||Measuring Mutual Fund Herding - A Structural Approach|
|Citation:||Frey S, Herbst P & Walter A (2012) Measuring Mutual Fund Herding - A Structural Approach. SSRN Working Paper Series. Social Science Research Network.|
|Publisher:||Social Science Research Network|
|Series/Report no.:||SSRN Working Paper Series|
|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.|
|Type:||Working or Discussion Paper|
|Rights:||Author retains copyright.|
|Affiliation:||Leibniz University of Hanover|
Accounting and Finance
|Herbst_2012_Measuring_Mutual_Fund_Herding.pdf||421.2 kB||Adobe PDF||View/Open|
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