Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/11723
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dc.contributor.authorFrey, Stefan-
dc.contributor.authorHerbst, Patrick-
dc.contributor.authorWalter, Andreas-
dc.date.accessioned2013-04-03T23:46:25Z-
dc.date.available2013-04-03T23:46:25Z-
dc.date.issued2012-06-27-
dc.identifier.urihttp://hdl.handle.net/1893/11723-
dc.description.abstractThis 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.en_UK
dc.language.isoen-
dc.publisherSocial Science Research Network-
dc.relationFrey S, Herbst P & Walter A (2012) Measuring Mutual Fund Herding - A Structural Approach. SSRN Working Paper Series. Social Science Research Network.-
dc.relation.ispartofseriesSSRN Working Paper Series-
dc.rightsAuthor retains copyright.-
dc.subjectHerdingen_UK
dc.subjectLSV measureen_UK
dc.subjectmutual fundsen_UK
dc.subjecttrading behavioren_UK
dc.titleMeasuring Mutual Fund Herding - A Structural Approachen_UK
dc.typeWorking or Discussion Paperen_UK
dc.citation.publicationstatusPublished-
dc.type.statusPublisher version-
dc.identifier.urlhttp://ssrn.com/abstract=984828-
dc.author.emailpatrick.herbst@stir.ac.uk-
dc.subject.jelG11-
dc.subject.jelG14-
dc.subject.jelG23-
dc.contributor.affiliationLeibniz University of Hanover-
dc.contributor.affiliationAccounting and Finance-
dc.contributor.affiliationGiessen University-
Appears in Collections:Accounting and Finance Working Papers

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