Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/51695

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题名:	Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market
作者:	Hung,WF;Lu,CC;Lee,CF
贡献者:	財務金融學系
关键词:	INVESTMENT STRATEGIES;INSTITUTIONAL TRADES;BEHAVIOR;INVESTORS;PRICES;SPECULATION;INFORMATION;HOLDINGS;RISK
日期:	2010
上传时间:	2012-03-27 19:03:05 (UTC+8)
出版者:	國立中央大學
摘要:	Using quarterly ownership data which identify identity codes of mutual funds in Taiwan, we investigate mutual fund herding and its impact on stock price. We show that mutual funds tend to follow their own steps in trading rather than follow trades made by other funds. More importantly, evidence of price continuation following mutual fund herd buying suggests that such herding is based on value-relevant information and is consistent with the investigative herding hypothesis. Alternatively, evidence of return reversal following mutual fund herd selling suggests that such herding is non-informational and is consistent with the characteristic herding hypothesis. (C) 2010 Elsevier B.V. All rights reserved.
關聯:	PACIFIC-BASIN FINANCE JOURNAL
显示于类别:	[財務金融學系] 期刊論文

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