Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market
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.
|Date of creation:||Mar 2011|
|Date of revision:|
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Web page: http://sfb649.wiwi.hu-berlin.de
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