Analysis of herding behavior of fund managers in terms of investors and contractual incentives
| Autor: | Chia-Hsuan Chiu, 邱佳璇 |
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| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 The paper is to analyze the relative importance of mutual funds absolute performance as well as relative performance and their impact on the investment decision of mutual fund investors. Moreover, the paper also provides new perspectives on herding behavior of mutual fund managers in terms of investors and contractual incentives. By using the Lakonishok, Shleifer, and Vishny (1992) measure and the Wermers (1999) measure to evaluate the herding level of individual mutual fund ranging from September 2002 to December 2008, including 158 equity funds totally, the empirical results suggest three conclusions. First of all, the importance of absolute performance compared to the relative performance becomes higher as the performance evaluation period gets longer. However, it doesn’t display monotonous increasing relation between the importance of absolute performance and its evaluation period. Second, results reveal that the importance of mutual funds relative performance is positively correlated to the tendency to herd of mutual fund managers when the performance evaluation period is longer. Third, there is no significant evidence supporting that managers of high contractual incentive funds have low herding tendency. Key words：fund performance,fund flows,herding behavior, contractual incentive |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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