How Do Fund Managers Invest: Self Strategy of Herding in Private Pension Funds?

Jose Olivares and Jean Sepulveda ()

No 1, Past Working Papers from Universidad del Desarrollo, School of Business and Economics

Abstract: We use Sias (2014) approach to decompose the correlation among investment strategies followed by pension funds administrators in the Chilean private pension fund system during the periods 1997-2001 and 2002-2005, and find that most of this correlation is explained by herding behavior. That is, fund managers mimicking the investment strategy of other funds. We argue that the obligated minimum guaranteed return that pension funds institutions must fulfill, created the incentive for fund managers to herd.

Keywords: Pension funds; herding; performance (search for similar items in EconPapers)
JEL-codes: C21 G11 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2007-09, Revised 2007-09
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http://repositorio.udd.cl/bitstream/handle/11447/15/wp01.pdf First version, 2007 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:dsr:pastwp:01

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