Please use this identifier to cite or link to this item: http://hdl.handle.net/10216/101032
Author(s): Júlio Lobão
Ana Paula Serra
Title: Herding Behavior - Evidence from Portuguese Mutual Funds
Issue Date: 2007
Abstract: We test for herding by Portuguese mutual funds over the period of 1998 to 2000. We employ the (herding) measure of trading suggested by Lakonishok, Schleifer, Thaler and Vishny (1992). We find strong evidence of herding behavior for Portuguese mutual funds. Furthermore, our results suggest that the level of herding is 4 to 5 times stronger than the herding found for institutional investors in mature markets. The herding effect seems to affect, as likely, purchases and sales of stocks. There seems to be a stronger tendency to herd among medium-cap funds rather than very large or very small funds, and for funds that hold fewer stocks in their portfolios. Lastly, herding seems to decrease when the stock market is doing well or is more volatile. Keywords: Herding Behavior; Capital Markets; Mutual Funds.
Subject: Ciências Sociais
Social sciences
URI: http://hdl.handle.net/10216/101032
Source: Diversification and Portfolio Management of Mutual Funds
Document Type: Capítulo ou Parte de Livro
Rights: restrictedAccess
Appears in Collections:FEP - Capítulo ou Parte de Livro

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