HERDING, INVESTMENT STRATEGY AND CORPORATE GOVERNANCE

Yen-Hsien Lee ； Yu-Lun Hu

《Advances in Investment Analysis and Portfolio Management》 8期 (2017/05) Pp. 105-123

https://doi.org/10.6291/AIAPM.2017.08.05

摘要

In recent years, foreign institutional investors have played an important role in the emerging markets. This paper investigates the herding behavior of foreign institutional investors using monthly data for January 2002 to December 2014. We evaluate whether a momentum strategy increases the herding of foreign institutional investors when the performance of corporate governance increases. Our findings point out that composite corporate governance has a positive effect on foreign institutional herding. Foreign institutional investors execute momentum strategies. Firms that have a high degree of corporate governance positively impact momentum strategies resulting in foreign institutional herding becoming stronger. In a crisis period, foreign investors execute a contrarian strategy, when they consider a firm mechanism of corporate governance.

關鍵字

Herding ； Momentum Strategy ； Foreign Institutional Investors ； Corporate Governance

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