 Herding behavior of Dutch pension funds in asset class investmentsI. Koetsier and Jacob Bikker (jabikker@hotmail.com) No 18-04, Working Papers from Utrecht School of Economics Abstract: This study investigates asset herd behavior for Dutch pension funds from 1999 to 2014 using quarterly data. We find considerable asset class herd behavior, which is more intensive for the more ‘exotic’ sub-asset classes, such as private equity and emerging market shares. We find higher buy herd behavior in sub-asset class markets, which are affected by the stock market and debt crises. The extent of pension fund’s herd behavior is affected by financial market, macroeconomics circumstances and returns. We find destabilizing effects of herd behavior for shares and private equity on the sell side, for fixed-interest investments on the buy side and for real estate on both the buy and sell side. We find stabilizing effects of herd behavior for shares and private equity on the buy side, for fixed interest investments on the sell side and for other investments on both the buy and the sell side. For crises, we find evidence that destabilizing behavior is concentrated on the buy side, whereas sell herd behavior mostly has a stabilizing effect. Keywords: Herd behaviour; (de)stabilising; pension funds; asset classes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:use:tkiwps:1804 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in Working Papers from Utrecht School of Economics Contact information at EDIRC. |
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