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    Mutual Fund Herding and Price Discovery – Evidence from an Emerging Market

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    Mutual_Fund_Herding_and_Price_Discovery_-_Evidence.pdf (251.1Kb)
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    http://hdl.handle.net/11603/7284
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    Author/Creator
    Yu, Jerry
    Wang, Wann-Cherng
    Date
    2014
    Type of Work
    30 pages
    Text
    journal articles
    Citation of Original Publication
    Yu, C. H. J., Wang, W. C., & Lin, T. Y. (2014). Mutual Fund Herding and Price Discovery–Evidence from an Emerging Market. Advances in Investment Analysis and Portfolio Management, (6), 177-197.
    Subjects
    mutual funding herding
    price discovery
    VAR test
    buy-herd
    sell-herd
    return dynamics
    Abstract
    In this paper, we directly investigate the impact of mutual funds’ herding behavior on the price discovery process by using a VAR test procedure, which simultaneously and sequentially tests the multiple hypotheses of the return dynamics. Results show that mutual funds’ herding contains information in the sense that stocks that mutual funds herd tend to adjust information faster than stocks that mutual funds do not herd. This implies that mutual fund managers herd on new information about the firms’ future prospects and will expedite the incorporation of information into stock prices. Furthermore, we also find that mutual funds’ herd buying contains more information than their herd selling behavior. Finally, we evidence that without herding mutual fund managers may still exhibit their private information via their act of trading.


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    Robert L. Bogomolny Library
    University of Baltimore
    1420 Maryland Ave.
    Baltimore, MD 21201
    Email: knowledgeworks@ubalt.edu


    If you wish to submit a copyright complaint or withdrawal request, please email mdsoar-help@umd.edu.