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Herd behaviour & investor sentiment: evidence from UK mutual funds

journal contribution
posted on 30.07.2020, 13:08 by Yawen Hudson, Meilan Yan, Dalu Zhang
The aims of this paper are to detect evidence of institutional investor herding behaviour and examine the role that investor sentiment plays in institutional investor herding behaviour. The herding behaviour is investigated by examining the dispersion of time varying beta of UK open-end and closed-end funds. The study finds evidence of fund managers' herding behaviour, which suggests they are likely to herd on market portfolio, size, and value factors. UK market-wide investor sentiment index is used for investigating the effects of investor sentiment on institutional herding behaviour. We find a unidirectional investor sentiment effect on the herding of UK mutual fund managers. We also reveal that the sentiment factors affecting UK open-end and closed-end fund managers herding behaviour are different due to the differences in fund structure.

History

School

  • Business and Economics

Department

  • Economics

Published in

International Review of Financial Analysis

Volume

71

Publisher

Elsevier BV

Version

AM (Accepted Manuscript)

Rights holder

© Elsevier Inc.

Publisher statement

This paper was accepted for publication in the journal International Review of Financial Analysis and the definitive published version is available at https://doi.org/10.1016/j.irfa.2020.101494.

Acceptance date

27/03/2020

Publication date

2020-05-15

Copyright date

2020

ISSN

1057-5219

Language

en

Depositor

Dr Meilan Yan. Deposit date: 30 July 2020

Article number

101494

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