Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/102380 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Manchester Business School Working Paper No. 623
Verlag: 
The University of Manchester, Manchester Business School, Manchester
Zusammenfassung: 
During the financial crisis in 2007-8, the quoted spread for the average S&P 1500 firm increased by 50%, while the systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding contributed strongly to both effects. Our results are robust to different specifications and consistent with theoretical and anecdotal evidence regarding the role of herding during a crisis.
Schlagwörter: 
Institutional Herding
Institutional Count
Institutional Holdings
Market Liquidity
Financial Crises
JEL: 
G01
G14
G20
Dokumentart: 
Working Paper

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