Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089462 | Journal of Banking & Finance | 2013 | 11 Pages |
Abstract
⺠New evidence on institutional herding using daily investor-specific transactions. ⺠Herding depends on stock characteristics including past returns and volatility. ⺠Return reversals reveal a destabilizing impact of herds on stock prices. ⺠Panel regressions suggest that herding is driven by similar risk models. ⺠Results emphasize the macro-prudential aspects for banking regulation.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stephanie Kremer, Dieter Nautz,