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dc.contributor.authorFrey, Stefanen_UK
dc.contributor.authorHerbst, Patricken_UK
dc.contributor.authorWalter, Andreasen_UK
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.relationFrey 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.
dc.rightsPublished 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.en_UK
dc.subjectLSV measureen_UK
dc.subjectMutual fundsen_UK
dc.titleMeasuring mutual fund herding - A structural approachen_UK
dc.typeJournal Articleen_UK
dc.citation.jtitleJournal of International Financial Markets, Institutions and Moneyen_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.contributor.affiliationLeibniz University of Hanoveren_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationGiessen Universityen_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
local.rioxx.authorFrey, Stefan|en_UK
local.rioxx.authorHerbst, Patrick|0000-0003-2916-7456en_UK
local.rioxx.authorWalter, Andreas|en_UK
local.rioxx.projectInternal Project|University of Stirling|
local.rioxx.filenamefhw_jifmim (2).pdfen_UK
Appears in Collections:Accounting and Finance Journal Articles

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