Broeders, Dirk
[Verfasser:in]
;
Chen, Damiaan
[Sonstige Person, Familie und Körperschaft];
Minderhoud, Peter
[Sonstige Person, Familie und Körperschaft];
Schudel, Willem
[Sonstige Person, Familie und Körperschaft]
Erschienen in:De Nederlandsche Bank Working Paper ; No. 503
Umfang:
1 Online-Ressource (40 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2741011
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2016 erstellt
Beschreibung:
This paper uses unique and detailed transaction data to analyse herding behavior among pension funds. We distinguish between weak, semi strong and strong herding behaviour. Weak herding occurs if pension funds have similar rebalancing strategies. Semi strong herding arises when pension funds react similarly to other external shocks, such as changes in regulation and exceptional monetary policy operations. Finally, strong herding means that pension funds intentionally replicate changes in the strategic asset allocation of other pension funds. Without an economic reason. We find empirical evidence supporting all three types of herding behaviour in the asset allocation of large Dutch pension funds