On mutual fund herding

Simple item page
dc.contributor.advisorStarks, Laura T.en
dc.contributor.committeeMemberAlmazan, Andresen
dc.contributor.committeeMemberAlti, Aydoganen
dc.contributor.committeeMemberCohn, Jonathanen
dc.contributor.committeeMemberRuenzi, Stefanen
dc.contributor.committeeMemberSialm, Clemensen
dc.creatorKoch, Andrew Wallaceen
dc.date.accessioned2011-10-24T14:49:00Zen
dc.date.accessioned2017-05-11T22:23:35Z
dc.date.available2011-10-24T14:49:00Zen
dc.date.available2017-05-11T22:23:35Z
dc.date.issued2011-08en
dc.date.submittedAugust 2011en
dc.date.updated2011-10-24T14:49:10Zen
dc.descriptiontexten
dc.description.abstractThis 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.en
dc.description.departmentFinanceen
dc.format.mimetypeapplication/pdfen
dc.identifier.slug2152/ETD-UT-2011-08-3774en
dc.identifier.urihttp://hdl.handle.net/2152/ETD-UT-2011-08-3774en
dc.language.isoengen
dc.subjectMutual fund herdingen
dc.subjectLiquidityen
dc.titleOn mutual fund herdingen
dc.type.genrethesisen

Files

Collections

University of Texas at Austin