Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39285
Authors: 
Kremer, Stephanie
Year of Publication: 
2010
Series/Report no.: 
SFB 649 discussion paper 2010,025
Abstract: 
This paper sheds new light on herding of institutional investors by using a unique and superior database that identifies every transaction of financial institutions. First, the analysis reveals herding behavior of institutions. Second, the replica- tion of the analysis with low-frequent and anonymous transaction data, on which the bulk of literature is based, indicates an overestimation of herding by previous studies. Third, our results suggest that herding by large financial institutions is not intentional but results from sharing the same preference and investment style. Fourth, a panel analysis shows that herding on the sell side in stocks is positively related to past returns and past volatility while herding on the buy side is nega- tively related to past returns. In contrast to the literature, this indicates that large financial institutions do not show positive feedback strategies.
Subjects: 
Investor Behavior
Institutional Trading
Stock Prices
JEL: 
G11
G24
C23
Document Type: 
Working Paper

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