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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"A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds,"
IMF Working Papers
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- 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.
- 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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