Deconstructing Herding : Evidence from Pension Fund Investment Behavior

Raddatz, Claudio; Schmukler, Sergio L.

dc.creator	Raddatz, Claudio
dc.creator	Schmukler, Sergio L.
dc.date	2012-03-19T18:02:56Z
dc.date	2012-03-19T18:02:56Z
dc.date	2011-06-01
dc.date.accessioned	2023-02-17T20:57:18Z
dc.date.available	2023-02-17T20:57:18Z
dc.identifier	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110622091607
dc.identifier	http://hdl.handle.net/10986/3464
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/244428
dc.description	Pension funds have been expected to invest in a wide range of securities and provide liquidity to domestic capital markets since they are the most sophisticated investors, with plenty of resources to gather private information and manage portfolios professionally. However, by analyzing unique, monthly asset-level data from the pioneer case of Chile, this paper shows that pension funds tend to herd. This is consistent with pension funds copying each other in their investment strategies as a way to extract information, boost returns, and reduce risk. The authors compute measures of herding across asset classes (equities, government bonds, and private sector bonds) and at different pension fund industry levels. The results show that pension funds herd more in assets for which they have less market information and when risk increases. Moreover, herding is more prevalent across funds that narrowly compete with each other, that is, when comparing funds of the same type across pension fund administrators. There is much less herding within pension fund administrators and across pension fund administrators as a whole. This herding pattern is consistent with incentives for managers to be close to industry benchmarks, which might be driven by both market forces and regulation.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5700,Paper is funded by the Knowledge for Change Program (KCP)
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ACCOUNTING
dc.subject	ACTIVE ASSETS
dc.subject	ALTERNATIVE INVESTMENT
dc.subject	ARBITRAGE
dc.subject	ASSET ALLOCATION
dc.subject	ASSET CHARACTERISTICS
dc.subject	ASSET CLASS
dc.subject	ASSET CLASSES
dc.subject	ASSET MANAGEMENT
dc.subject	ASSET MANAGERS
dc.subject	ASSET TYPE
dc.subject	ASSETS UNDER MANAGEMENT
dc.subject	ASYMMETRIC INFORMATION
dc.subject	BANK POLICY
dc.subject	BENCHMARK
dc.subject	BENCHMARK YIELD
dc.subject	BENCHMARK YIELD CURVE
dc.subject	BENCHMARKS
dc.subject	BID
dc.subject	BOND
dc.subject	BOND AUCTIONS
dc.subject	BOND FUNDS
dc.subject	BOND RATINGS
dc.subject	CAPITAL FLOWS
dc.subject	CAPITAL MARKET
dc.subject	CAPITAL MARKET ACTIVITY
dc.subject	CAPITAL MARKET DEVELOPMENT
dc.subject	CAPITAL MARKET REFORMS
dc.subject	CAPITAL RAISING
dc.subject	CAPITALIZATION
dc.subject	CENTRAL BANK
dc.subject	CONFLICTS OF INTEREST
dc.subject	CONTRACTUAL SAVINGS
dc.subject	CONTRACTUAL SAVINGS INSTITUTIONS
dc.subject	CORPORATE BOND
dc.subject	CORPORATE BOND ISSUERS
dc.subject	CORPORATE BONDS
dc.subject	CORPORATE GOVERNANCE
dc.subject	CORPORATE INVESTMENT
dc.subject	COUPONS
dc.subject	DEBT
dc.subject	DEBT MARKETS
dc.subject	DEBTOR
dc.subject	DEPOSITS
dc.subject	DERIVATIVES
dc.subject	DEVELOPING COUNTRIES
dc.subject	DOMESTIC CAPITAL
dc.subject	DOMESTIC CAPITAL MARKETS
dc.subject	DOMESTIC EQUITIES
dc.subject	DOMESTIC EQUITY
dc.subject	EMERGING MARKET
dc.subject	EMERGING MARKET DEBT
dc.subject	EMERGING MARKETS
dc.subject	EMERGING STOCK MARKET
dc.subject	EQUITIES
dc.subject	EQUITY HOLDINGS
dc.subject	EQUITY MARKET
dc.subject	EQUITY MARKET CAPITALIZATION
dc.subject	EQUITY MARKETS
dc.subject	EQUITY MUTUAL FUNDS
dc.subject	EQUITY PORTFOLIO
dc.subject	FINANCIAL INSTITUTION
dc.subject	FINANCIAL INSTITUTIONS
dc.subject	FINANCIAL MANAGEMENT
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL MARKETS
dc.subject	FINANCIAL STUDIES
dc.subject	FINANCIAL SUPPORT
dc.subject	FINANCIAL SYSTEMS
dc.subject	FIXED INCOME
dc.subject	FIXED INCOME ASSETS
dc.subject	FIXED INCOME MARKETS
dc.subject	FIXED INCOME SECURITIES
dc.subject	FLOW OF FUNDS
dc.subject	FOREIGN ASSETS
dc.subject	FOREIGN INVESTMENT
dc.subject	FOREIGN INVESTMENTS
dc.subject	FOREIGN MUTUAL FUNDS
dc.subject	FUND INDUSTRY
dc.subject	FUND MANAGEMENT
dc.subject	FUND MANAGERS
dc.subject	FUND PORTFOLIOS
dc.subject	FUND TYPE
dc.subject	FUND TYPES
dc.subject	GLOBALIZATION
dc.subject	GOVERNMENT BOND
dc.subject	GOVERNMENT BONDS
dc.subject	GOVERNMENT PAPER
dc.subject	GROUPS OF FUNDS
dc.subject	INCOME INSTRUMENTS
dc.subject	INDIVIDUAL ACCOUNT
dc.subject	INDIVIDUAL ACCOUNTS
dc.subject	INDIVIDUAL INVESTMENTS
dc.subject	INDIVIDUAL INVESTORS
dc.subject	INSTITUTIONAL INVESTOR
dc.subject	INSTITUTIONAL INVESTORS
dc.subject	INSTRUMENT
dc.subject	INSURANCE
dc.subject	INSURANCE COMPANIES
dc.subject	INTERMEDIATE MATURITIES
dc.subject	INTERNATIONAL BANK
dc.subject	INTERNATIONAL DEVELOPMENT
dc.subject	INTERNATIONAL ECONOMICS
dc.subject	INVESTABLE ASSETS
dc.subject	INVESTING
dc.subject	INVESTMENT BEHAVIOR
dc.subject	INVESTMENT DECISION
dc.subject	INVESTMENT DECISIONS
dc.subject	INVESTMENT FUNDS
dc.subject	INVESTMENT INSTRUMENTS
dc.subject	INVESTMENT PATTERN
dc.subject	INVESTMENT PATTERNS
dc.subject	INVESTMENT REGULATIONS
dc.subject	INVESTMENT RESTRICTIONS
dc.subject	INVESTMENT STRATEGIES
dc.subject	INVESTMENT STRATEGY
dc.subject	INVESTMENT VEHICLES
dc.subject	INVESTOR BASE
dc.subject	ISSUANCE
dc.subject	ISSUANCES
dc.subject	LEVEL OF RISK
dc.subject	LIFE INSURANCE
dc.subject	LIFE INSURANCE COMPANIES
dc.subject	LIQUIDITY
dc.subject	MACROECONOMIC POLICIES
dc.subject	MANAGEMENT COMPANIES
dc.subject	MARKET DEPTH
dc.subject	MARKET EVIDENCE
dc.subject	MARKET INFORMATION
dc.subject	MARKET LIQUIDITY
dc.subject	MARKET PARTICIPANTS
dc.subject	MARKET PRICES
dc.subject	MARKET TRANSPARENCY
dc.subject	MARKET VALUE
dc.subject	MARKET VOLATILITY
dc.subject	MATURITIES
dc.subject	MATURITY
dc.subject	MATURITY DATE
dc.subject	MOMENTUM STRATEGIES
dc.subject	MOMENTUM TRADER
dc.subject	MOMENTUM TRADING
dc.subject	MORTGAGE
dc.subject	MORTGAGE BOND
dc.subject	MORTGAGE BONDS
dc.subject	MORTGAGE-BACKED SECURITIES
dc.subject	MUTUAL FUND
dc.subject	MUTUAL FUND MANAGERS
dc.subject	MUTUAL FUND STRATEGIES
dc.subject	MUTUAL FUNDS
dc.subject	OPPORTUNITY COST
dc.subject	OUTSTANDING CORPORATE BONDS
dc.subject	OVERALL PORTFOLIO
dc.subject	PAST PERFORMANCE
dc.subject	PENSION
dc.subject	PENSION FUND
dc.subject	PENSION FUND INVESTMENT
dc.subject	PENSION FUND MANAGERS
dc.subject	PENSION FUNDS
dc.subject	PENSION REFORM
dc.subject	PENSION REFORMS
dc.subject	PENSION SYSTEM
dc.subject	PENSIONS
dc.subject	POLITICAL ECONOMY
dc.subject	PORTFOLIO
dc.subject	PORTFOLIO ALLOCATION
dc.subject	PORTFOLIO ALLOCATIONS
dc.subject	PORTFOLIO COMPOSITIONS
dc.subject	PORTFOLIO HOLDING
dc.subject	PORTFOLIO INVESTMENTS
dc.subject	PORTFOLIO PERFORMANCE
dc.subject	PORTFOLIOS
dc.subject	PRICE FORMATION
dc.subject	PRIMARY MARKETS
dc.subject	PUBLIC OFFERINGS
dc.subject	PUBLIC SAVINGS
dc.subject	PUBLIC SECTOR BONDS
dc.subject	RATE OF RETURN
dc.subject	REAL RATE OF RETURN
dc.subject	REGULATORY CONSTRAINTS
dc.subject	REGULATORY FRAMEWORK
dc.subject	RESERVE
dc.subject	RESERVES
dc.subject	RETAIL INVESTORS
dc.subject	RETIREMENT INCOME SECURITY
dc.subject	RETURN
dc.subject	RETURN VOLATILITY
dc.subject	RETURNS
dc.subject	RISK PARAMETERS
dc.subject	RISK PROFILES
dc.subject	SECONDARY MARKETS
dc.subject	SECURITIES
dc.subject	SECURITIES MARKETS
dc.subject	SET OF FUNDS
dc.subject	SINGLE PORTFOLIO
dc.subject	SOPHISTICATED INVESTORS
dc.subject	STOCK EXCHANGE
dc.subject	STOCK MARKET
dc.subject	STOCK MARKET DEVELOPMENT
dc.subject	STOCK MARKET INDEX
dc.subject	STOCK MARKET LIQUIDITY
dc.subject	STOCKS
dc.subject	TRADING
dc.subject	TRADING DAYS
dc.subject	TRANSACTION
dc.subject	TRANSACTION COSTS
dc.subject	TRANSFER RISK
dc.subject	TRANSPARENCY
dc.subject	TURNOVER
dc.subject	TURNOVER RATIO
dc.subject	TURNOVER RATIOS
dc.subject	TYPES OF FUNDS
dc.subject	UNDERLYING ASSETS
dc.title	Deconstructing Herding : Evidence from Pension Fund Investment Behavior
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	Latin America & Caribbean
dc.coverage	Latin America & Caribbean
dc.coverage	The World Region
dc.coverage	The World Region
dc.coverage	South America
dc.coverage	America