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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Measuring mutual fund herding - A structural approach
Author(s): Frey, Stefan
Herbst, Patrick
Walter, Andreas
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Keywords: Herding
LSV measure
Mutual funds
Issue Date: Sep-2014
Date Deposited: 8-Jan-2015
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.
DOI Link: 10.1016/j.intfin.2014.05.006
Rights: Published in Journal of International Financial Markets, Institutions and Money by Elsevier; Elsevier believes that individual authors should be able to distribute their AAMs for their personal voluntary needs and interests, e.g. posting to their websites or their institution’s repository, e-mailing to colleagues. However, our policies differ regarding the systematic aggregation or distribution of AAMs to ensure the sustainability of the journals to which AAMs are submitted. Therefore, deposit in, or posting to, subject-oriented or centralized repositories (such as PubMed Central), or institutional repositories with systematic posting mandates is permitted only under specific agreements between Elsevier and the repository, agency or institution, and only consistent with the publisher’s policies concerning such repositories. Voluntary posting of AAMs in the arXiv subject repository is permitted.

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