What drives the herding behavior of individual investors?
Maxime Merli and
Tristan Roger ()
Working Papers of LaRGE Research Center from Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg
This article intends to provide answers concerning what drives individual investor herding behavior. Our empirical study uses transaction records of 87,373 French individual investors for the period 1999-2006. In a ?first part, we show - using both the traditional Lakonishok et al. (1992) and the more recent Frey et al. (2007) measures - that herding is prevalent and strong among French individual investors. We then show that herding is persistent: stocks on which investors concentrate their trades at time t are more likely to be the stocks on which investors herd at time t+1. In a second part, we focus on the motivations of individual herding behavior. We introduce an investor specific measure of herding which allows us to track the persistence in herding of individual investors. Our results highlight that this behavior is influenced by investor-specifi?c characteristics. We also reveal the fact that individual herding behavior is strongly and negatively linked with investors own past performance.
New Economics Papers: this item is included in nep-bec and nep-cbe
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: What drives the herding behavior of individual investors? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:lar:wpaper:2011-03
Access Statistics for this paper
More papers in Working Papers of LaRGE Research Center from Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg
Contact information at EDIRC.
Series data maintained by Christophe J. Godlewski ().