Pension Funds’ Herding
40 Pages Posted: 2 Mar 2016
Date Written: March 1, 2016
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.
Keywords: Occupational Pension Funds, Asset Allocation, Herding; Financial Stability
JEL Classification: G11, G23
Suggested Citation: Suggested Citation