Do closed-end fund investors herd?

被引：28

作者：

Cui, Yueting ^{[1
]}

Gebka, Bartosz ^{[2
]}

Kallinterakis, Vasileios ^{[1
]}

机构：

[1] Univ Liverpool, Management Sch, Chatham Bldg,Chatham St, Liverpool L69 7ZH, Merseyside, England

[2] Newcastle Univ, Business Sch, 5 Barrack Rd, Newcastle Upon Tyne NE1 4SE, Tyne & Wear, England

来源：

JOURNAL OF BANKING & FINANCE | 2019年 / 105卷

关键词：

Closed-end funds; Herding; Discounts; Sentiment; INVESTMENT STRATEGIES; STOCK MARKETS; BEHAVIOR; PERFORMANCE; VOLATILITY; DISCOUNTS; SENTIMENT; IMPACT; MODEL; PRICE;

D O I：

10.1016/j.jbankfin.2019.05.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide the first investigation of herding among closed-end fund investors, drawing on the US closed end fund market for the 1992-2016 period. Results suggest closed-end fund investors herd significantly, with their herding being mainly driven by non-fundamentals. Closed-end fund herding rises in economic/market uncertainty, with its significance being mainly concentrated in the post-2007 period. Herding among closed-end funds is strongly motivated by discounts, is more pronounced than that among their net asset values and tends to grow inversely with fund-size. The fact that closed-end fund herding is noise-driven and linked to their discounts raises the possibility that it is related to the noise trader risk attributed to closed-end funds by investor sentiment theory. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：194 / 206

页数：13

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