RIEB セミナー （六甲フォーラム共催）
RIEB Seminar （Jointly supported by Rokko Forum）
| 日時： （Date&Time) |
2008年4月17日（木）午後3時から （Thursday, April 17, 2008, 3:00pm〜） |
| ＜3:00pm〜4:30pm＞ | |
| 報告者： （Speaker） |
Vikas MEHROTRA |
| 所属： （Affiliation） |
アルバータ大学ビジネス学部／一橋大学経済研究所 （School of Business, University of Alberta／Institute of Economic Research, Hitotsubashi University） |
| 論題： （Topic） |
Do Stock Exchanges Corral Investors into Herding? |
| 概要： (Abstract) |
We study whether stock exchanges induce herding by examining a sample of firms that switch from NASDAQ to the NYSE. We find that trades for the switching firms co-move more strongly with NYSE trades and less strongly with NASDAQ trades following the switch, indicating that investors on the two major U.S. stock exchanges display herding behavior. The results are not driven by changes in the comovement of cash flows or by firm characteristics. A similar pattern is found for stock returns. While we are not able to rule out rational origins of herding, our broader results appear to be most consistent with a behavioral view of comovement proposed by Barberis, Shleifer and Wurgler (2005). |
| ＜4:30pm〜6:00pm＞ | |
| 報告者： （Speaker） |
Aditya KAUL |
| 所属： （Affiliation） |
アルバータ大学ビジネス学部 （School of Business, University of Alberta） |
| 論題： （Topic） |
Flight to Quality and Canadian Mutual Fund Flows |
| 概要： (Abstract) |
This paper examines the asset allocation decisions of mutual fund investors, focusing on flight to quality considerations. Specifically, we study monthly net flows to the universe of Canadian mutual funds between 1991 and 2005 to see how investors vary flows across fund categories as economic conditions change. Using the default spread, term spread and short term interest rate as proxies for economic conditions, we find that an improvement (deterioration) in Canadian economic conditions causes investors to direct flows away from (towards) fixed income-type funds and towards (out of) equity based funds. For example, a one standard deviation increase in the term spread (1.13%) results in an 84% increase and a 74% decrease in the percentage of flows directed at Canadian equity and money market funds respectively. To further assess the significance of shifting risk preferences, we examine the flows to equity and money market funds surrounding three major crises: the Long Term Capital Management debacle, the Y2K problem and the 9/11 terrorist attacks. Each episode is accompanied by significant flows into money market funds and out of equity funds. For example, the August 1998 Long Term Capital Management failure sees Canadian investors move $1,850 million into money market funds and $627 million out of equity funds. Our results provide evidence both of a strong flight-to-quality motivation underlying aggregate mutual fund flows and of rationality in mutual fund investor asset allocation decisions. |
| 会場： (Place) |
神戸大学経済学部 中会議室 （第3学舎1階） Medium Meeting Room at the Department of Economics (Third Building 1st floor) |
| 対象： （Intended Audience) |
教員、院生および同等の知識をお持ちの方 Faculty, Graduate Students and People with Equivalent Knowledge |
| 使用言語 （Language) |
英語 English |
| 備考： (Note) |
論文のコピーは研究助成室にご用意いたします。 |