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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/43688
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| Title: | | Herding of institutional traders: New evidence from daily data  |
| Authors: | | Kremer, Stephanie |
| Issue Date: | | 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 |
| Appears in Collections: | | Diskussionsbeiträge, FB Wirtschaftswissenschaft, FU Berlin
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