Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/88155
Authors: 
Boortz, Christopher
Jurkatis, Simon
Kremer, Stephanie
Nautz, Dieter
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1336
Abstract: 
Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model.
Subjects: 
Herd Behavior
Institutional Trading
Model Simulation
JEL: 
G11
G24
Document Type: 
Working Paper

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