THE IMPACT OF HERDING BEHAVIOR ON THE PERFORMANCE OF INVESTMENT COMPANIES BASED ON MODERN AND POST MODERN PORTFOLIO THEORY

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SHAMS SHAHABEDDIN; ESFANDIRARI MOGHADDAM AMIR TEYMUR

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Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:1 Page(s): 97-118

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Title

THE IMPACT OF HERDING BEHAVIOR ON THE PERFORMANCE OF INVESTMENT COMPANIES BASED ON MODERN AND POST MODERN PORTFOLIO THEORY

Author(s)

SHAMS SHAHABEDDIN | ESFANDIRARI MOGHADDAM AMIR TEYMUR | Issue Writer Certificate

Keywords

HERDINGQ1

INVESTMENT COMPANIESQ2

PERFORMANCEQ2

Abstract

In this research, by using statistical data of 24 accepted INVESTMENT COMPANIES on a monthly basis, and by using Lakonishok model (1992) for the period 1388-1394, impact of HERDING behavior on the PERFORMANCE of the companies based on modern and post modern portfolio theory is examined. In order to analyze data and examine the hypothesis, after reviewing the static of variables, has been used by Generalized Method of Moments (GMM) and Generalized Least Squares (EGLS) methods of estimations. Results indicate that HERDING behavior in INVESTMENT COMPANIES’ significant negative impact on PERFORMANCE criteria based on the theories of modern and post modern portfolio. In other words, HERDING behavior is negatively affected on all PERFORMANCE measures Jensen, Sharp, Trainer, Sortino, good potential, Omega, Trainer adjusted and Jensen adjusted.

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APA: Copy

SHAMS, SHAHABEDDIN, & ESFANDIRARI MOGHADDAM, AMIR TEYMUR. (2017). THE IMPACT OF HERDING BEHAVIOR ON THE PERFORMANCE OF INVESTMENT COMPANIES BASED ON MODERN AND POST MODERN PORTFOLIO THEORY. FINANCIAL RESEARCH, 19(1 ), 97-118. SID. https://sid.ir/paper/91244/en

Vancouver: Copy

SHAMS SHAHABEDDIN, ESFANDIRARI MOGHADDAM AMIR TEYMUR. THE IMPACT OF HERDING BEHAVIOR ON THE PERFORMANCE OF INVESTMENT COMPANIES BASED ON MODERN AND POST MODERN PORTFOLIO THEORY. FINANCIAL RESEARCH[Internet]. 2017;19(1 ):97-118. Available from: https://sid.ir/paper/91244/en

IEEE: Copy

SHAHABEDDIN SHAMS, and AMIR TEYMUR ESFANDIRARI MOGHADDAM, “THE IMPACT OF HERDING BEHAVIOR ON THE PERFORMANCE OF INVESTMENT COMPANIES BASED ON MODERN AND POST MODERN PORTFOLIO THEORY,” FINANCIAL RESEARCH, vol. 19, no. 1 , pp. 97–118, 2017, [Online]. Available: https://sid.ir/paper/91244/en

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