Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds

Andreu Sánchez, Laura (Universidad de Zaragoza) ; Gargallo Pilar (Universidad de Zaragoza) ; Salvador Manuel (Universidad de Zaragoza) ; Sarto José Luis (Universidad de Zaragoza)
Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds
Resumen: This 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
Idioma: Inglés
DOI: 10.1002/asmb.2087
Año: 2015
Publicado en: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 31 (2015), 745-761
ISSN: 1524-1904

Factor impacto: 0.574 (2015)
Categ. JCR: OPERATIONS RESEARCH & MANAGEMENT SCIENCE rank: 74 / 82 = 0.902 (2015) - Q4 - T3
Categ. JCR: MATHEMATICS, INTERDISCIPLINARY APPLICATIONS rank: 83 / 101 = 0.822 (2015) - Q4 - T3
Categ. JCR: STATISTICS & PROBABILITY rank: 93 / 123 = 0.756 (2015) - Q4 - T3

Financiación: info:eu-repo/grantAgreement/ES/MICINN/CSO2011-29943-CO3-02
Financiación: info:eu-repo/grantAgreement/ES/MICINN-FEDER/ECO2012-35029
Financiación: info:eu-repo/grantAgreement/ES/MINECO/ECO2013-45568-12
Tipo y forma: Article (PostPrint)
Área (Departamento): Métodos Cuantitativos para la Economíay la Empresa (Departamento de Estructura e Historia Económicas y Economía Pública)
Área (Departamento): Economía Financiera y Contabilidad (Departamento de Contabilidad y Finanzas)

Exportado de SIDERAL (2017-04-05-14:48:36)

Este artículo se encuentra en las siguientes colecciones:
articulos > articulos-por-area > metodos_cuantitativos_para_la_economiay_la_empresa
articulos > articulos-por-area > economia_financiera_y_contabilidad



 Notice créée le 2015-12-14, modifiée le 2017-04-05


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