000032734 001__ 32734
000032734 005__ 20170405145429.0
000032734 0247_ $$2doi$$a10.1002/asmb.2087
000032734 0248_ $$2sideral$$a92182
000032734 037__ $$aART-2015-92182
000032734 041__ $$aeng
000032734 100__ $$0(orcid)0000-0003-3661-5448$$aAndreu Sánchez, Laura$$uUniversidad de Zaragoza
000032734 245__ $$aBayesian analysis of herding behaviour: an application to Spanish equity mutual funds
000032734 260__ $$c2015
000032734 5060_ $$aAccess copy available to the general public$$fUnrestricted
000032734 5203_ $$aThis paper proposes a dynamic Bayesian rolling window estimation procedure applied to the three-factor model of Fama and French to analyse herding behaviour in the style exposures of mutual funds. This procedure allows a user to dynamically select the length of the estimation window by means of weighted likelihood functions that discount the loss of information because of time. This method is very flexible and allows us to consider different approaches of detecting herding behaviour by taking into account the uncertainty associated in the estimation of the style coefficients. In particular, the paper first determines the convergence behaviour following the traditional LSV herding measure and then refines this method by removing the influence exerted by market conditions, such as market volatility and returns, on this convergence. This process is empirically illustrated by an application to Spanish equity mutual funds
000032734 536__ $$9info:eu-repo/grantAgreement/ES/MINECO/ECO2013-45568-12$$9info:eu-repo/grantAgreement/ES/MICINN-FEDER/ECO2012-35029$$9info:eu-repo/grantAgreement/ES/MICINN/CSO2011-29943-CO3-02
000032734 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
000032734 590__ $$a0.574$$b2015
000032734 591__ $$aOPERATIONS RESEARCH & MANAGEMENT SCIENCE$$b74 / 82 = 0.902$$c2015$$dQ4$$eT3
000032734 591__ $$aMATHEMATICS, INTERDISCIPLINARY APPLICATIONS$$b83 / 101 = 0.822$$c2015$$dQ4$$eT3
000032734 591__ $$aSTATISTICS & PROBABILITY$$b93 / 123 = 0.756$$c2015$$dQ4$$eT3
000032734 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion
000032734 700__ $$0(orcid)0000-0003-1205-1756$$aGargallo Pilar$$uUniversidad de Zaragoza
000032734 700__ $$0(orcid)0000-0002-5788-6661$$aSalvador Manuel$$uUniversidad de Zaragoza
000032734 700__ $$0(orcid)0000-0001-6078-0465$$aSarto José Luis$$uUniversidad de Zaragoza
000032734 7102_ $$14008$$2623$$aUniversidad de Zaragoza$$bDepartamento de Estructura e Historia Económicas y Economía Pública$$cMétodos Cuantitativos para la Economíay la Empresa
000032734 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDepartamento de Contabilidad y Finanzas$$cEconomía Financiera y Contabilidad
000032734 773__ $$g31 (2015), 745-761$$pAppl. stoch. models bus. ind.$$tAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY$$x1524-1904
000032734 8564_ $$s838895$$uhttp://zaguan.unizar.es/record/32734/files/texto_completo.pdf$$yPostprint
000032734 8564_ $$s118545$$uhttp://zaguan.unizar.es/record/32734/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint
000032734 909CO $$ooai:zaguan.unizar.es:32734$$particulos$$pdriver
000032734 951__ $$a2017-04-05-14:48:36
000032734 980__ $$aARTICLE