Institutional Herding .pdf (1.15 MB)
Herd behaviour & investor sentiment: evidence from UK mutual funds
journal contributionposted on 2020-07-30, 13:08 authored by Yawen Hudson, Meilan YanMeilan 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.
- Business and Economics
Published inInternational Review of Financial Analysis
- AM (Accepted Manuscript)
Rights holder© Elsevier Inc.
Publisher statementThis 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.