Fund Manager Herding: A Test of the Accuracy of Empirical Results Using U.K. Data
AbstractThe portfolio holdings of 268 U.K. equity mutual funds are employed to test the accuracy of the Lakonishok, Shleifer, and Vishny (1992) measure of herding and test for herding among U.K. mutual fund managers. After adjusting for the biases in the LSV herding measure, the results reveal the existence of a modest amount of fund manager herding in the largest and smallest individual U.K. stocks but little herding in other stocks or stocks aggregated by industry. Contrary to previous U.S. results, we find that U.K. mutual fund managers tend to herd out of large stocks after high excess returns.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 78 (2005)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Dorn, Daniel & Huberman, Gur & Sengmueller, Paul, 2007.
"Correlated Trading and Returns,"
CEPR Discussion Papers
6530, C.E.P.R. Discussion Papers.
- Liao, Tsai-Ling & Huang, Chih-Jen & Wu, Chieh-Yuan, 2011. "Do fund managers herd to counter investor sentiment?," Journal of Business Research, Elsevier, vol. 64(2), pages 207-212, February.
- Jo-Hui Chen, 2010. "Gender difference and job replacement for mutual fund," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(4), pages 661-671, June.
- Moatemri Ouarda & Abdelfatteh El Bouri & Olivero Bernard, 2013. "Herding Behavior under Markets Condition: Empirical Evidence on the European Financial Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 214-228.
- Wermers, Russ, 2006. "Performance evaluation with portfolio holdings information," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 207-230, August.
- Omar Masood & Bora Aktan & Sahil Chaudhary, 2009. "The investment decision-making process from a risk manager's perspective: a survey," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 1(2), pages 106-120, June.
- Uchida, Hirofumi & Nakagawa, Ryuichi, 2007.
"Herd behavior in the Japanese loan market: Evidence from bank panel data,"
Journal of Financial Intermediation,
Elsevier, vol. 16(4), pages 555-583, October.
- Ryuichi Nakagawa & Hirofumi Uchida, 2004. "Herd Behavior In The Japanese Loan Market: Evidence From Bank Panel Data," Econometric Society 2004 Far Eastern Meetings 737, Econometric Society.
- Ryuichi Nakagawa & Hirofumi Uchida, 2004. "Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data," Econometric Society 2004 Australasian Meetings 161, Econometric Society.
- Franck, Alexander & Walter, Andreas, 2012. "Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62015, Verein für Socialpolitik / German Economic Association.
- Choi, Nicole & Sias, Richard W., 2009. "Institutional industry herding," Journal of Financial Economics, Elsevier, vol. 94(3), pages 469-491, December.
- Venezia, Itzhak & Nashikkar, Amrut & Shapira, Zur, 2011. "Firm specific and macro herding by professional and amateur investors and their effects on market volatility," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1599-1609, July.
- Itzhak Venezia & Amrut Nashikkar & Zur Shapira, 2011. "Firm specific and macro herding by professional and amateur investors and their effects on market volatility," Discussion Paper Series dp586, The Center for the Study of Rationality, Hebrew University, Jerusalem.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.