Research on risk measurement of the multi-hierarchical herding behavior of the heterogeneous institutional investors
Based on the modified LSV model,this paper measured the herding behavior of the 6 types of institutional investor via three aspects.We got some new findings: 1)The funds herding behavior is the most serious in all kinds of institutional investors,and the fund shows no the professional ability in practice; 2)QFII、Trust and Broker did not do a good job as the social security fund,and even might be seen as the backward pointer of the market; 3)none of the industries owned the bigger or smaller measurement value of herding behavior for all of the institutional investors,which means all of the institutional investors will never buy or sell any industry simultaneously; 4)the social security fund invested the most in the growth enterprise market,which is quite different with our traditional conception on social security fund.
institutional investors herding behavior lsv model heterogeneous
Jie Ma Zhenghua Wei Xing Yin
School of Economics and Management,Beihang University,China
国际会议
上海
英文
995-1005
2017-10-21（万方平台首次上网日期，不代表论文的发表时间）