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Herding in French stock markets: Empirical evidence from equity mutual funds

Mohamed Arouri (), Raphaëlle Bellando, Sébastien Ringuedé () and Anne-Gaël Vaubourg ()
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Sébastien Ringuedé: LEO - Laboratoire d'Économie d'Orleans - CNRS - Centre National de la Recherche Scientifique - Université de Tours - UO - Université d'Orléans
Anne-Gaël Vaubourg: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - Université Montesquieu - Bordeaux 4

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Abstract: Using the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV) and the more recent measure of Frey, Herbst and Walter (2007) (FHW), we assess herding by French equity mutual funds between 1999 and 2005. We show that LSV herding amounts to 6.5%, while FHW herding is approximately 2.5 times stronger. We find that herding is stronger in small capitalisation firms than in medium- and large capitalisation firms. Herding is also more severe among foreign stocks than among EU-15 or French stocks. Moreover, French mutual funds are shown to partially use positive feedback strategies. Finally, we establish that sell-herding has a destabilising impact on stock prices and that this impact is larger for foreign stocks.

Keywords: Herding; French; equity; mutual funds (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-fmk and nep-mst
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01066726
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Published in Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2013, pp.42-58

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