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Do closed-end fund investors herd?

Lookup NU author(s): Professor Bartosz GebkaORCiD

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).

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.

Publication metadata

Author(s): Cui Y, Gebka B, Kallinterakis V

Publication type: Article

Publication status: Published

Journal: Journal of Banking and Finance

Year: 2019

Volume: 105

Pages: 194-206

Print publication date: 01/08/2019

Online publication date: 21/05/2019

Acceptance date: 20/05/2019

Date deposited: 15/07/2019

ISSN (print): 0378-4266

ISSN (electronic): 1872-6372

Publisher: Elsevier

URL: https://doi.org/10.1016/j.jbankfin.2019.05.015

DOI: 10.1016/j.jbankfin.2019.05.015

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