Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/5356
Título: Herding in a concentrated market: A question of intent
Autor: Holmes, P.
Kallinterakis, V.
Ferreira, Mário
Palavras-chave: Herding
Window dressing
Institutional trading
Data: 2010
Citação: KALLINTERAKIS, V.; FERREIRA, Mário - Herding in a concentrated market: A question of intent. - In EUROPEAN FINANCIAL MANAGEMENT ASSOCIATION (EFMA) – 2010 ANNUAL MEETING, Aarhus, Dinamarca, 23-26 Junho, 2010. - Published online abstract at Conference Papers http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2010-Aarhus/confpap2010.shtml
Resumo: Considerable evidence exists that institutions engage in herding. However, the issue of why institutions herd remains unresolved. Using data on monthly holdings in the Portuguese market, we examine the extent to which funds herd over adjacent periods and find clear evidence of herding. Furthermore, we investigate whether or not such behaviour is intentional or spurious. By analysing herding under different market conditions, we conclude it is intentional. Analysis by month-of-the-quarter suggests reputational reasons drive behaviour. Results are consistent with herding interacting with window dressing to determine funds buy and sell decisions.
URI: http://hdl.handle.net/10400.14/5356
Versão do Editor: The definitive version is available at http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2010-Aarhus/confpap2010.shtml
Aparece nas colecções:FEG - Artigos em actas / Papers in proceedings

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