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Title: An examination of herd behaviour in hedge funds Authors:  Ekaterini Panopoulou - University of Essex (United Kingdom)
Nikolaos Voukelatos - University of Kent (United Kingdom) [presenting]
Abstract: The extent to which hedge fund managers tend to herd around a consensus when making investment decisions is examined. To this end, we use the cross-sectional dispersion of hedge fund returns as a measure of aggregate heterogeneity among funds that belong to the same style group. The empirical results suggest that the propensity of fund managers to follow the herd varies across different fund groups, and it is also related to a set of variables at the aggregate market level.