Journal of Banking & Finance Vol. 105 2019
Do closed-end fund investors herd?
Abstract
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.
- DOI
- 10.1016/j.jbankfin.2019.05.015
- Volume
- 105
- Pages
- 194-206
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib