The bias in a standard measure of herding
AbstractWe address the Lakonishok, Shleifer and Vishny (LSV) herding measure. Frey, Herbst and Walter (FHW) have shown by empirical simulations that LSV is biased. Using a theoretical model we provide a formal explanation of this bias, and show that a corrected herding measure depends on some unobservable parameters. This suggests that assessing herding intensity with this kind a more difficult task than considered up to now in the empirical literature.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 2 ()
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herding; herding measures; fund management;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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- Sushil Bikhchandani & Sunil Sharma, 2001. "Herd Behavior in Financial Markets," IMF Staff Papers, Palgrave Macmillan, vol. 47(3), pages 1.
- Eduardo R. Borensztein & R. Gaston Gelos, 2001.
"A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds,"
CESifo Working Paper Series
564, CESifo Group Munich.
- Eduardo Borensztein & R. Gaston Gelos, 2003. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," IMF Staff Papers, Palgrave Macmillan, vol. 50(1), pages 3.
- Gaston Gelos & Eduardo Borensztein, 2000. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," IMF Working Papers 00/198, International Monetary Fund.
- Hwang, Soosung & Salmon, Mark, 2004.
"Market stress and herding,"
Journal of Empirical Finance,
Elsevier, vol. 11(4), pages 585-616, September.
- Raphaëlle Bellando, 2010. "Measuring herding intensity: a hard task," Working Papers halshs-00517610, HAL.
- Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
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