3 research outputs found
new evidence from daily data
This paper sheds new light on herding of institutional investors by using a
unique database that identifies every transaction made by financial
institutions in the German stock market. First, the analysis reveals that
herding behavior of insti- tutions occurs daily. Second, replication of the
analysis with low-frequency and anonymous transaction data indicates that
previous studies overestimate herding. Third, our results suggest that herding
by large financial institutions mainly re- sults from shared preference and
investment styles. Fourth, a panel analysis shows that herding on the sell
side in stocks is positively related to past returns and past volatility,
whereas herding on the buy side is negatively related to these variables.
Hence, large financial institutions do not demonstrate positive feedback
strategies