This thesis investigates the tendency to herd by 124 Swedish equity mutual funds over the period of 2000 to 2007. By employing the measure developed by Lakonishok et al. (1992) we find strong evidence of herding in the overall sample. The level of herding by the Swedish mutual funds seem to be higher than for mature markets, but less than for emerging markets…
Contents
1. INTRODUCTION
2. THE SWEDISH MUTUAL FUND INDUSTRY
3. THEORY AND PREVIOUS RESEARCH
4. HYPOTHESES
5. DATA
5.1 DESCRIPTION OF DATA
5.2 DESCRIPTIVE STATISTICS OF DATASET
6 METHODOLOGY
6.1 THE LSV MEASURE OF HERDING
6.2 THE MODIFIED LSV MEASURE
6.3 CRITIQUE OF THE LSV MEASURE
7. EMPIRICAL RESULTS AND ANALYSIS
7.1 OVERALL LEVELS OF HERDING IN THE SAMPLE
7.2 BUY – AND SELL – SIDE LEVELS OF HERDING
7.3 MEAN HERDING SEGREGATED BY STOCK SIZE
7.4 MEAN HERDING SEGREGATED BY FUND SIZE
7.5 SUMMARY OF RESULTS COMPARED TO PREDICTIONS….
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Author: ANGELO MANGANARO,DICK VON MARTENS
Source: Stockholm School of Economics