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Herding behaviour in Spanish equity funds

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  • Luis Ferruz Agudo
  • J. L. Sarto
  • L. Vicente

Abstract

We analyse the herding phenomenon in the management style of Spanish equity funds. Using the methodology of Lakonishok et al. (1992) and Sharpe's style analysis (1992), we find interesting conclusions in the investment behaviour of fund managers, a barely-explored aspect, especially in the Spanish market.

Suggested Citation

  • Luis Ferruz Agudo & J. L. Sarto & L. Vicente, 2008. "Herding behaviour in Spanish equity funds," Applied Economics Letters, Taylor & Francis Journals, vol. 15(7), pages 573-576.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:7:p:573-576
    DOI: 10.1080/13504850600706974
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    References listed on IDEAS

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    1. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
    2. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, April.
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    Cited by:

    1. Hagerman, Amy D. & Jin, Yanhong H., 2009. "The Buzz In The Pits: Livestock Futures' Response To A Rumor Of Foreign Animal Disease," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49493, Agricultural and Applied Economics Association.
    2. Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.
    3. Jonchi Shyu & Hsin-Ming Sun, 2010. "Do Institutional Investors Herd in Emerging Markets? Evidence from the Taiwan Stock Market," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 2(2), pages 119-119, December.
    4. Kapil Choudhary & Parminder Singh & Amit Soni, 2022. "Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence," Global Business Review, International Management Institute, vol. 23(1), pages 137-155, February.
    5. Laura Andreu & Cristina Ortiz & Jose Luis Sarto, 2009. "Herding behaviour in strategic asset allocations: new approaches on quantitative and intertemporal imitation," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1649-1659.
    6. Laura Andreu & José L. Sarto & Pilar Gargallo & Manuel Salvador, 2020. "Leaders and followers in mutual funds: A dynamic Bayesian approach," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(4), pages 679-695, July.
    7. Flora Muiño & Marco Trombetta, 2009. "Does graph disclosure bias reduce the cost of equity capital?," Accounting and Business Research, Taylor & Francis Journals, vol. 39(2), pages 83-102.
    8. Carlos F. Alves & João Vaz Nunes & Ana Paula Serra, 2014. "Analysis of European Equity Funds Preferences for Stock Characteristics," FEP Working Papers 533, Universidade do Porto, Faculdade de Economia do Porto.
    9. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.
    10. Ashish Kumar Garg & Subrata Kumar Mitra & Dilip Kumar, 2016. "Do foreign institutional investors herd in emerging markets? A study of individual stocks," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 281-300, September.
    11. Lu¨ªs Oliveira & Tom¨¢s Salen & Jos¨¦ Dias Curto & Nuno Ferreira, 2019. "Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(2), pages 1-16, February.
    12. Laura Andreu & Cristina Ortiz & José Luis Sarto, 2015. "Herding in Style Allocations," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 822-844, August.

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