Institutional herding in financial markets: New evidence through the lens of a simulated model
Stephanie Kremer and
Dieter Nautz ()
Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association
Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investorspecific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model.
JEL-codes: G11 G21 G01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-fmk and nep-mst
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Working Paper: Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc14:100455
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