Herd Behaviour and Trading Among Dutch Pension Funds

In this paper we provide evidence that repudiates the popular belief that Dutch pension funds are long-term passive institutional traders; rather like active traders they trade about eight and half percent of their portfolio on monthly basis. Using a unique data sample, our results affirm significant feedback trading strategies, both momentum and contrarian, and robust herding behaviour in investments of Dutch PFs. Our findings contradict with some previous evidence and advance the suggestions that both the institutional lagged demand for a stock and performance triggers contrarian investments in Dutch PFs; and their trading behaviour substantially varies across asset classes. Furthermore, the recent financial turmoil has a positive impact on both turnover and herding while it negatively affects the feedback trading