Herd behaviour & investor sentiment: Evidence from UK mutual funds |
| |
| Institution: | 1. Centre of Planning and Economic Research, Hellenic Open University & Open University of Cyprus, 11 Amerikis str., 106 72 Athens, Greece;2. University of Stirling Management School, Stirling FK9 4LA, UK;3. University of Liverpool Management School, Chatham Building, Chatham Street, Liverpool L69 7ZH, UK;4. Ernst&Young Audit OOD, Polygraphia Office Center, 47A, Tsarigradsko Shose Blvd., fl. 4, 1124 Sofia, Bulgaria;1. Stockholm School of Economics in Riga, Strēlnieku iela 4a, Riga LV-1010, Latvia;2. SEB Latvia, Meistaru iela 1, Valdlauci, Kekavas pagasts, Kekavas novads LV-1076, Latvia;3. Kino-mo Belarus, Tolbukhina 2, office 20, Minsk 220012, Belarus;4. Department of Finance, Corvinus University of Budapest, F?vám tér 8, Budapest 1093, Hungary |
| |
| Abstract: | The aims of this paper are to detect evidence of institutional investor herding behaviour and examine the role that investor sentiment plays in institutional investor herding behaviour. The herding behaviour is investigated by examining the dispersion of time varying beta of UK open-end and closed-end funds. The study finds evidence of fund managers' herding behaviour, which suggests they are likely to herd on market portfolio, size, and value factors. UK market-wide investor sentiment index is used for investigating the effects of investor sentiment on institutional herding behaviour. We find a unidirectional investor sentiment effect on the herding of UK mutual fund managers. We also reveal that the sentiment factors affecting UK open-end and closed-end fund managers herding behaviour are different due to the differences in fund structure. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
