Leaders and followers in mutual funds: A dynamic Bayesian approach

被引：0

作者：

Andreu, Laura ^{[1
]}

Sarto, Jose L. ^{[1
]}

Gargallo, Pilar ^{[2
]}

Salvador, Manuel ^{[2
]}

机构：

[1] Univ Zaragoza, Fac Econ & Empresa, Dept Contabilidad & Finanzas, Zaragoza, Spain

[2] Univ Zaragoza, Fac Econ & Empresa, Dept Econ Aplicada, Gran Via 2, Zaragoza 50005, Spain

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2020年 / 36卷 / 04期

关键词：

Bayesian inference; CAPM; leaders and followers; mutual funds; rolling window; HERD BEHAVIOR; PERFORMANCE; STOCKS; TRADES;

D O I：

10.1002/asmb.2524

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This article proposes a dynamic Bayesian framework to analyze the leadership relationships between mutual funds. To this end, a two-step procedure is proposed. First, a Bayesian rolling window based on the Capital Asset Pricing Model is used to estimate the evolution of mutual funds' market exposure over time. Then, a vector autoregressive (VAR) model is used to analyze the leader-follower relationship between pair of mutual funds. Several leadership measures are studied. An application to Spanish mutual funds is carried out. In addition, the study examines the determining factors of mutual fund leadership.

引用

页码：679 / 695

页数：17

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