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herding. The model’s original version suffers from the problem of N-dependence: its ability to replicate the statistical … agents. -- herding ; financial markets ; networks ; N-dependence ; systemic risk …
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This paper studies “attention cascade” in a delegated portfolio management setting. Empirically, “attention cascades” refer to two types of (related) cascade. First, investors would pay more attention to the mutual funds that hold more stocks which have grabbed the investors' attention....
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This paper explores the incentives for mutual funds to trade with sibling funds affiliated with the same group. To this end, we construct a dataset of almost one million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with...
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leaders, contemporaneously herding managers, and followers. I find evidence of a persistent group of funds whose trades lead …
Persistent link: https://www.econbiz.de/10013006704
This paper investigates herding behaviors in U.S treasury markets. We document novel evidence that mutual funds exhibit … strong herding behaviors on trading long-term treasuries. This “term-structure” herding is only pronounced for buy herding …, not sell herding. The relationship between herding and time-to-maturity is stronger for funds with high fund flow …
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