Table 9 Examination of herding behavior...

Table 9

Examination of herding behavior in public equity fund market by centrality

Centrality		Oiroi
Centrality		All	Up	Down
Portfolio1 (Smallest)	$R_{M}$	0.105***	0.326***	0.0805
		(0.0247)	(0.122)	(0.0985)
	$R_{M}^{2}$	0.968***	−0.818	0.123
		(0.250)	(0.920)	(0.656)
Portfolio2	$R_{M}$	0.119***	0.279*	0.104
		(0.0281)	(0.141)	(0.116)
	$R_{M}^{2}$	0.926***	−0.355	−0.247
		(0.284)	(1.066)	(0.772)
Portfolio3	$R_{M}$	0.113***	0.266*	0.107
		(0.0300)	(0.146)	(0.146)
	$R_{M}^{2}$	1.206***	−0.00659	0.0287
		(0.304)	(1.101)	(0.972)
Portfolio4	$R_{M}$	0.114***	0.276*	0.170
		(0.0309)	(0.149)	(0.152)
	$R_{M}^{2}$	1.151***	−0.0497	−0.509
		(0.312)	(1.121)	(1.012)
Portfolio5 (Biggest)	$R_{M}$	0.116***	0.216	0.285*
		(0.0329)	(0.156)	(0.166)
	$R_{M}^{2}$	1.132***	0.501	−1.409
		(0.332)	(1.175)	(1.102)
Observations		87	57	30

Centrality		Oiroi
Centrality		All	Up	Down
Portfolio1 (Smallest)	$R_{M}$	0.105***	0.326***	0.0805
		(0.0247)	(0.122)	(0.0985)
	$R_{M}^{2}$	0.968***	−0.818	0.123
		(0.250)	(0.920)	(0.656)
Portfolio2	$R_{M}$	0.119***	0.279*	0.104
		(0.0281)	(0.141)	(0.116)
	$R_{M}^{2}$	0.926***	−0.355	−0.247
		(0.284)	(1.066)	(0.772)
Portfolio3	$R_{M}$	0.113***	0.266*	0.107
		(0.0300)	(0.146)	(0.146)
	$R_{M}^{2}$	1.206***	−0.00659	0.0287
		(0.304)	(1.101)	(0.972)
Portfolio4	$R_{M}$	0.114***	0.276*	0.170
		(0.0309)	(0.149)	(0.152)
	$R_{M}^{2}$	1.151***	−0.0497	−0.509
		(0.312)	(1.121)	(1.012)
Portfolio5 (Biggest)	$R_{M}$	0.116***	0.216	0.285*
		(0.0329)	(0.156)	(0.166)
	$R_{M}^{2}$	1.132***	0.501	−1.409
		(0.332)	(1.175)	(1.102)
Observations		87	57	30

Note(s): Table 9 shows the coefficients of panel regression result of the equation below by each portfolio of funds sorted based on Oiroi. We only report the coefficient of $R_{M}$ and $R_{M}^{2}$ ⁠. Detailed variable definitions are in Table 1. Standard errors are in parentheses. ***, ** and * denote significance at the 1, 5 and 10% level, respectively

${C S A D}_{t} = β_{0} + β_{1} R_{m, t} + β_{2} R_{m, t}^{2} + e_{t}$

Source(s): Authors' work

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