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- On the impact of style investing over institutional herding: evidence from a highly concentrated marketPublication . Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Leire-Ferreira, Mário PedroFund managers have been found to herd significantly in major international markets, with evidence suggesting that style investing reinforces their herding. However, research to date has not explored the herding-style relationship in highly concentrated markets, despite the impact that market concentration can confer over this relationship. This study investigates this issue in the context of Portugal using monthly funds’ portfolio-holdings and documents evidence suggesting the significant temporal dependence of monthly institutional demand which is for the most part due to herding. The significance of this dependence remains robust when controlling for several styles, as well as accounting for the entry of Portugal into the EURONEXT and the outbreak of the ongoing global crisis. Combining the above with the limited evidence of significance in the presence of the styles controlled for, the authors conclude that Portuguese fund managers herd significantly without style affecting their herding.
- Institutional industry herding : intentional or spurious?Publication . Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Ferreira, Mário PedroThis paper investigates the extent to which institutional herding at the industry level is motivated by intent. We assess intent using both market and sector states based on three variables (returns; volatility; volume), in order to gauge whether herding intent is more relevant to conditions prevailing in a sector or the market as a whole. Using a unique database of quarterly portfolio holdings of Spanish funds, we produce evidence that institutional herding in the Spanish market is intentional for most sectors, manifesting itself mainly during periods when the market as a whole or the specific sector under examination has underperformed, generated rising/high volatility and exhibited rising/high volume.