학술논문
Following the Leader? Size-Dependent Herding in the US Equity Fund Market
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- 영문명
- Following the Leader? Size-Dependent Herding in the US Equity Fund Market
- 발행기관
- 한국계량경제학회
- 저자명
- Sei-Wan Kim Young-Min Kim
- 간행물 정보
- 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.35 No.1, 85~104쪽, 전체 20쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2024.03.30
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국문 초록
영문 초록
Abstract We examine the herding behavior of individual investors on institutional investors in the US equity fund market. In this paper, individual investors are households entrusting money to mutual funds, while institutional investors are non-household entities. Our empirical investigation determines that the significant herding behavior of individual investors is based on the trading size of institutional investors. In particular, we find evidence that herding in the US equity mutual fund market is triggered by the largest selling and buying of institutional investors. This indicates that the presence of asymmetry in individual investors’ herding behavior depends on the size of institutional investors’ trade. Further, we find that herding in the US equity fund market is related to marketwide risk aversion, which is intensified in institutional investors’ big selling.
목차
1. INTRODUCTION
2. DATA
3. IMPLICATION OF ASYMMETRIC HERDING
4. EMPIRICAL RESULTS
5. THE IMPACT OF RISK AVERSION ON HERDING
6. CONCLUSION
REFERENCES
해당간행물 수록 논문
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.35 No.1 목차
- 한국 재정정책과 가계부채, 주택가격의 관계 분석
- Forecasting Stock Market Volatility: A Sentiment Based Approach
- Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis
- Following the Leader? Size-Dependent Herding in the US Equity Fund Market
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