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Herding of institutional traders
Kremer, Stephanie ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleHerding of institutional traders
Subtitlenew evidence from daily data
AuthorKremer, Stephanie
InstitutionUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages49 S.
Series Discussion paper / School of Business & Economics ; 2010/23 ; Economics
KeywordsInvestor Behavior; Institutional Trading; Stock Prices
Classification (DDC)337 International economics
AbstractThis 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.
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FU DepartmentDepartment Business and Economics
Other affiliation(s)Institut für Statistik und Ökonometrie
Year of publication2010
Type of documentBook
LanguageEnglish
Terms of use/Rights Nutzungsbedingungen
Created at2010-10-19 : 09:59:42
Last changed2014-01-23 : 04:20:15
 
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000006775
ISBN978-3-941240-35-3
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