Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60944 
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dc.contributor.authorCipriani, Marcoen
dc.contributor.authorGuarino, Antonioen
dc.date.accessioned2012-06-05-
dc.date.accessioned2012-08-17T14:38:06Z-
dc.date.available2012-08-17T14:38:06Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/60944-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x561en
dc.subject.jelG14en
dc.subject.jelD82en
dc.subject.jelC13en
dc.subject.ddc330en
dc.subject.keywordherd behavioren
dc.subject.keywordmarket microstructureen
dc.subject.keywordstructural estimationen
dc.titleEstimating a structural model of herd behavior in financial markets-
dc.typeWorking Paperen
dc.identifier.ppn717053849en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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