This study examines several issues related to mutual fund
herd behavior. First, a unifying and consistent framework for
measuring herd behavior is developed. This framework generates
portfolio-level measures for each fund manager over each quarter,
and relates herd behavior to other aspects of portfolio dynamics.
Simulations indicate significant and persistent non-random herd
behavior. Second, mechanisms that potentially underly herd behavior
are tested. Empirical results indicate that herding funds tend to i)
change their holdings towards levels similar to peers, ii) have less
experienced managers, and iii) underperform their peers. These
results are consistent with a career concerns theory of herding.
Third, the impact of mutual fund herding on stock liquidity is
examined. Empirical results indicate that herd behavior can lead to
correlation in stock-level liquidity. / text
| Identifer | oai:union.ndltd.org:UTEXAS/oai:repositories.lib.utexas.edu:2152/ETD-UT-2011-08-3774 |
| Date | 24 October 2011 |
| Creators | Koch, Andrew Wallace |
| Source Sets | University of Texas |
| Language | English |
| Detected Language | English |
| Type | thesis |
| Format | application/pdf |
Page generated in 0.0017 seconds