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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

Asset managers, market liquidity and bank regulation

Aldasoro, Iñaki; Huang, Wenqian; Tarashev, Nikola A. - 2021

Persistent link: https://www.econbiz.de/10012501992

Attention Cascades and Delegated Portfolio Management

Ling, Yun - 2015

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....

Persistent link: https://www.econbiz.de/10013031776

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

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

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

The dynamic and asymmetric herding behavior of US equity fund managers in the stock market

Fang, Hao; Shen, Chung-hua; Lee, Yen-Hsien - In: International review of economics & finance : IREF 49 (2017), pp. 353-369

Persistent link: https://www.econbiz.de/10011748490

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

Herd Behavior and Mutual Fund Performance

Koch, Andrew - 2016

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

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