机构持股丶从众与风险分散.pdf

風險管理學報 第四卷 第二期 2002 年 11 月 Journal of Risk Management Vol.4 No.2 Nov. 2002 pp. 1-29 The Role of Institutional Ownership and Herding in Diversification Strategy 機構持股、從眾與風險分散 * Chih-Hsien Yu (游智賢) Abstract This paper aims at exploring the relative importance of institutional ownership and behavior of herding in the effect of diversification. I first examine the degree of significance on herding for stocks with different levels of institutional ownership. Many previous studies based on the US market argue that institutional investors may exhibit more herding behavior than the individual investors since there are more incentives for the institutional investors than for the individual investors to herd in their trading. Indeed, I find that stocks with higher (lower) mutual fund ownership tend to exert higher (lower) degree of herding. But the extent of herding is not as strong for the securities dealers. This implies that mutual fund managers exhibit more herding than securities dealers do. Next, I attempt to assess the diversification benefits for the portfolios with different levels of institutional ownership or different extent of herding. The evidence shows that the return association is higher (and consequently, the diversification benefit is lower) among stocks with larger institutional ownership th