Journal of Economics and Finance

, Volume 38, Issue 4, pp 658–671

Herding in the strategic allocations of Spanish pension plan managers


DOI: 10.1007/s12197-012-9248-5

Cite this article as:
Andreu, L., Ortiz, C. & Sarto, J.L. J Econ Finan (2014) 38: 658. doi:10.1007/s12197-012-9248-5


This paper empirically examines herding behavior in the strategic style allocations of Spanish pension plan managers. The study uses both the standard metric used in financial literature to capture institutional herding and a new approach to address some shortcomings of this traditional measure. Concretely, some authors have highlighted that the traditional measure does not take into account that the probability that a manager buys rather than sells a certain stock depends on both the initial holding in the stock and the asset flows. As a consequence, this study proposes a new approach, which can be applied to other financial markets and provides more accurate values of the probability to increase (or decrease) the style exposures bearing in mind the previous exposure of each portfolio. The study confirms the existence of herding behavior by using both methods. Although the strength of this behavior decreases using the new approach, the herding levels detected in this study of style herding of Spanish pension plans are higher than those of previous research analyzing portfolio holdings in other countries. Additionally, herding levels are higher in periods of low volatility while market returns does not seem to influence herding levels.


Herding behavior Non-parametric methods Pension Plans Portfolio managers Style allocations 

JEL Classification


Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  • Laura Andreu
    • 1
  • Cristina Ortiz
    • 1
  • José Luis Sarto
    • 1
  1. 1.Faculty of Economics and Business Studies, Accounting and Finance DepartmentUniversidad de ZaragozaZaragozaSpain

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