Herding behavior of Dutch pension funds in asset class investments
Ian Koetsier and
Jacob Bikker ()
DNB Working Papers from Netherlands Central Bank, Research Department
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)
JEL-codes: G23 G24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-age
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.dnb.nl/en/binaries/Working%20Paper%20No.%20602_tcm47-377905.pdf [301 Moved Permanently]--> https://www.dnb.nl/en/binaries/working%20paper%20no.%20602_tcm47-377905.pdf)
Working Paper: Herding behavior of Dutch pension funds in asset class investments (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:602
Access Statistics for this paper
More papers in DNB Working Papers from Netherlands Central Bank, Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Richard Heuver ().