Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56639
Authors: 
Kremer, Stephanie
Nautz, Dieter
Year of Publication: 
2011
Series/Report no.: 
SFB 649 discussion paper 2011-015
Abstract: 
This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to longer-term herding measures obtained from quarterly data, results based on daily data do not indicate that short-term herding tends to be more pronounced in small capitalized stocks or in times of market stress. Moreover, we find that herding measures based on anony- mous transactions can lead to misleading results about the behavior of institutional investors during the recent financial crisis.
Subjects: 
herding
investor behavior
institutional trading
anonymous transaction data
JEL: 
D81
G11
G24
Document Type: 
Working Paper

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