The term structure of mutual fund herding |
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Authors: | Xiaolin Huo Xin Liu Weinan Zheng |
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Affiliation: | 1. School of Finance, Renmin University of China, Beijing, China;2. International School of Economics and Management, Capital University of Economics and Business, Beijing, China |
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Abstract: | This paper investigates institutional herding behaviours in the U.S. Treasury market. We find that the level of herding is higher for bonds with a longer time to maturity and this pattern is significant only for buy herding, not sell herding. This term structure of herding is stronger for funds with a shorter investment horizon. These patterns remain strong for Treasury Inflation-Protected Securities and for Treasuries with high coupon rates. Overall, our findings support investors' short-termism as a channel for the term structure of herding and are inconsistent with other herding explanations, such as spurious herding, reputational concerns and information cascades. |
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Keywords: | herding mutual funds short-termism time to maturity treasuries |
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