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dc.contributor.authorCipriani, Marcoen_US
dc.contributor.authorGuarino, Antonioen_US
dc.description.abstractWe develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent (11 percent) of information-event days, the proportion of informed traders who herd-buy (sell) is greater than 10 percent. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the asset's expected value.en_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x561en_US
dc.subject.keywordherd behavioren_US
dc.subject.keywordmarket microstructureen_US
dc.subject.keywordstructural estimationen_US
dc.titleEstimating a structural model of herd behavior in financial marketsen_US
dc.typeWorking Paperen_US

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