Herding by institutional investors: empirical evidence from French mutual funds

Mohamed Arouri, Raphaëlle Bellando, Sébastien Ringuedé () and Anne-Gaël Vaubourg ()
Additional contact information
Sébastien Ringuedé: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique
Anne-Gaël Vaubourg: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: In this paper, we use the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV indicator) and a more recent measure by Frey, Herbst and Walter (2007) (FHW indicator) in order to assess the intensity of herding by French equity mutual funds and to compare it to institutional herding in other stock markets. We show that when measured with the LSV indicator, institutional herding by French equity funds amounts to 6.5%, which is larger than those reported by other empirical studies on developed stock markets. Our ndings also suggest that herding does not monotonically rises with the number of investors trading on a stock-quarter. We also obtain that FHW herding levels are about 2.5 times stronger than those obtained with the traditional LSV measure. Our other results are consistent with those reported by most previous works on developed stock markets. In particular, we observe that herding is stronger in small capitalization than in medium and large capitalization. Moreover herding turns out to be more severe among foreign stocks than among UE-15 or French stocks. Finally, French institutional investors practice feedback strategies: they buy past winners and sell past losers

Date: 2010-08-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00507832v1
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://hal.science/hal-00507832v1/document (application/pdf)

Related works:
Working Paper: Herding by instutional investors: empirical evidence from french mutual funds (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00507832

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().