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Network hierarchy in Kirman’s ant model : fund investment can create systemic risk
Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009
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 …
Persistent link: https://www.econbiz.de/10003906917
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
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Herding and delegated portfolio management : the impact of relative performance evaluation on asset allocation
Maug, Ernst; Naik, Narayan Y. - In: The quarterly journal of finance 1 (2011) 2, pp. 265-292
Persistent link: https://www.econbiz.de/10009309750
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Predation versus cooperation in mutual fund families
Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo - 2013
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...
Persistent link: https://www.econbiz.de/10009750628
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Predation versus Cooperation in Mutual Fund Families
Eisele, Alexander - 2020
In this paper, we investigate how mutual funds react to the distress of another fund in the same fund family. We test three alternative hypotheses: (1) funds help the distressed fund, (2) funds front-run the distressed fund improving their relative performance in the fund family and, (3) the...
Persistent link: https://www.econbiz.de/10012857252
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The Term Structure of Mutual Fund Herding
Liu, Xin - 2019
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 …
Persistent link: https://www.econbiz.de/10012858428
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Performance evaluation and herd behavior in a laboratory financial market
Yang, Xiaolan; Gao, Mei; Wu, Yun; Jin, Xuejun - In: Journal of behavioral and experimental economics 75 (2018), pp. 45-54
Persistent link: https://www.econbiz.de/10012038365
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Herd behavior and mutual fund performance
Koch, Andrew - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3849-3873
Persistent link: https://www.econbiz.de/10011772840
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Robust return efficiency and herding behavior of fund managers
Lu, Shuai; Li, Shouwei; Chen, Ning - In: Finance research letters 46 (2022) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10013341311
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Information risk, market stress and institutional herding in financial markets : new evidence through the lens of a simulated model
Boortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; … - 2014
-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions … sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis. …
Persistent link: https://www.econbiz.de/10010356865