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Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market

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Author Info

  • Stephanie Kremer
  • Dieter Nautz

Abstract

This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to longer-term herding measures obtained from quarterly data, results based on daily data do not indicate that short-term herding tends to be more pronounced in small capitalized stocks or in times of market stress. Moreover, we find that herding measures based on anony- mous transactions can lead to misleading results about the behavior of institutional investors during the recent financial crisis.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-015.pdf
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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-015.

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Length: 30 pages
Date of creation: Mar 2011
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2011-015

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Related research

Keywords: Herding; Investor Behavior; Institutional Trading; Anonymous Transaction Data;

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Cited by:
  1. Franck, Alexander & Walter, Andreas, 2012. "Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62015, Verein für Socialpolitik / German Economic Association.

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