Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43688
Authors: 
Kremer, Stephanie
Year of Publication: 
2010
Series/Report no.: 
School of Business & Economics Discussion Paper: Economics 2010/23
Abstract: 
This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the analysis with low-frequency and anonymous transaction data indicates that previous studies overestimate herding. Third, our results suggest that herding by large financial institutions mainly results from shared preference and investment styles. Fourth, a panel analysis shows that herding on the sell side in stocks is positively related to past returns and past volatility, whereas herding on the buy side is negatively related to these variables. Hence, large financial institutions do not demonstrate positive feedback strategies.
Subjects: 
Investor Behavior
Institutional Trading
Stock Prices
JEL: 
G11
G24
C23
ISBN: 
978-3-941240-35-3
Document Type: 
Working Paper

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