Dutch pension funds show signs of herding, paper says
Regulatory price of risk for different asset classes “should be balanced”
From 2009 to 2015, 39 of the largest pension funds in the Netherlands showed evidence of herding behaviour, threatening financial stability in the country, a working paper published by the Netherlands Bank contends.
In Pension funds’ herding, Dirk Broeders, Damiaan Chen, Peter Minderhoud and Willem Schudel use transaction data to analyse herding behaviour among pension funds, distinguishing between weak, semi-strong and strong herding behaviour.
“Our findings have potential implications for
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