The term structure of mutual fund herding.

Autor:	Huo, Xiaolin, Liu, Xin, Zheng, Weinan
Předmět:	TREASURY bills INVESTORS
Zdroj:	European Financial Management; Jun2023, Vol. 29 Issue 3, p901-929, 29p, 12 Charts
Abstrakt:	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. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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