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dc.contributor.authorYu, Jerry
dc.contributor.authorWang, Wann-Cherng
dc.date.accessioned2017-10-11T13:52:51Z
dc.date.available2017-10-11T13:52:51Z
dc.date.issued2014
dc.description.abstractIn 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.en_US
dc.format.extent30 pagesen_US
dc.genrejournal articlesen_US
dc.identifierdoi:10.13016/M2RF5KH0M
dc.identifier.citationYu, 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.en_US
dc.identifier.urihttp://hdl.handle.net/11603/7284
dc.language.isoen_USen_US
dc.publisherAdvances in Investment Analysis and Portfolio Managementen_US
dc.relation.isAvailableAtUniversity of Baltimore
dc.subjectmutual funding herdingen_US
dc.subjectprice discoveryen_US
dc.subjectVAR testen_US
dc.subjectbuy-herden_US
dc.subjectsell-herden_US
dc.subjectreturn dynamicsen_US
dc.titleMutual Fund Herding and Price Discovery – Evidence from an Emerging Marketen_US
dc.typeTexten_US


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