Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market
Franck, Alexander | Walter, Andreas
Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 3 : pp. 343–371
7 Citations (CrossRef)
Additional Information
Article Details
Author Details
Alexander Franck, Justus Liebig University Giessen, Department of Financial Services, Licher Straße 74, D-35394 Giessen
Prof. Dr. Andreas Walter, Justus Liebig University Giessen, Department of Financial Services, Licher Straße 74, D-35394 Giessen
Cited By
-
Added Value von Behavioral-Finance-Fonds
Stand der wissenschaftlichen Forschung über Märkte und ihre Teilnehmer
Averbeck, Daniel
2018
https://doi.org/10.1007/978-3-662-55924-6_3 [Citations: 0] -
A Risk- and Complexity-Rating Framework for Investment Products
Koh, Benedict S.K. | Koh, Francis | Chuen, David Lee Kuo | Guan, Lim Kian | Ng, David | Fai, Phoon KokFinancial Analysts Journal, Vol. 71 (2015), Iss. 6 P.10
https://doi.org/10.2469/faj.v71.n6.2 [Citations: 2] -
Momentum strategies of German mutual funds
Franck, Alexander | Walter, Andreas | Witt, Johannes F.Financial Markets and Portfolio Management, Vol. 27 (2013), Iss. 3 P.307
https://doi.org/10.1007/s11408-013-0211-z [Citations: 7] -
The impact of fund characteristics on the use of analyst forecasts
Franck, Alexander | Kerl, AlexanderJournal of Asset Management, Vol. 15 (2014), Iss. 2 P.92
https://doi.org/10.1057/jam.2014.18 [Citations: 1] -
Momentum Strategies of German Mutual Funds
Franck, Alexander | Walter, Andreas | Witt, JohannesSSRN Electronic Journal, Vol. (2013), Iss.
https://doi.org/10.2139/ssrn.2220253 [Citations: 0] -
Predicting the antecedents of consumers' intention toward purchase of mutual funds: A hybrid PLS‐SEM‐neural network approach
Mishra, Anand Kumar | Bansal, Rohit | Maurya, Prince Kumar | Kar, Sanjay Kumar | Bakshi, Palvinder KaurInternational Journal of Consumer Studies, Vol. 47 (2023), Iss. 2 P.563
https://doi.org/10.1111/ijcs.12850 [Citations: 43] -
The Impact of Fund Characteristics on the Use of Analyst Forecasts
Franck, Alexander | Kerl, Alexander GabrielSSRN Electronic Journal, Vol. (2013), Iss.
https://doi.org/10.2139/ssrn.2258302 [Citations: 0]
Abstract
Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market
We examine the herd behavior among equity funds in Germany based on a large sample of funds from 2000 to 2009. We show that a large portion of the detected herding can be explained by identical trading among funds of the same investment company. However, we also find statistically significant stock herding among funds belonging to different fund families. In contrast to existing herding studies which analyze herd behavior within a purely national stock environment, we investigate mutual fund herding in international stocks. We contribute to the literature by analyzing the impact of portfolio complexity on herd behavior. We find the most pronounced levels of herding for funds choosing their portfolio stocks from a broad, international and therefore complex investment universe. Further, we approximate a fund's portfolio complexity by its size and find high levels of herding among the biggest funds. To analyze the herd behavior of individual funds, we introduce a new and intuitive way to assign levels of herding to funds according to their trading activity within a given period. We show that managers differentiate between buy-herding and sell-herding and that individual funds exhibit similar herding intensities within a given and a succeeding period. (JEL D82, G11, G23)