EconPapers    
Economics at your fingertips  
 

What drives the herding behavior of individual investors?

Maxime Merli and Tristan Roger ()

Post-Print from HAL

Abstract: 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 Örst 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 speciÖc measure of herding which allows us to track the persistence in herding of individual investors. Our results highlight that this behavior is ináuenced by investor-speciÖc characteristics. We also reveal the fact that individual herding behavior is strongly and negatively linked with investorsíown past performance.

Keywords: Herding behavior; investor (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00658723v2
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in 2011

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00658723v2/document (application/pdf)

Related works:
Journal Article: What drives the herding behavior of individual investors? (2013) Downloads
Working Paper: What drives the herding behavior of individual investors? (2013)
Working Paper: What drives the herding behavior of individual investors? (2011)
Working Paper: What drives the herding behavior of individual investors? (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00658723

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-09-07
Handle: RePEc:hal:journl:halshs-00658723