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2011-03-10Diskussionspapier DOI: 10.18452/4305
Short-Term Herding of Institutional Traders
dc.contributor.authorKremer, Stephanie
dc.contributor.authorNautz, Dieter
dc.date.accessioned2017-06-16T00:18:58Z
dc.date.available2017-06-16T00:18:58Z
dc.date.created2011-04-19
dc.date.issued2011-03-10
dc.date.submitted2011-03-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4957
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectInstitutional Tradingeng
dc.subjectHerdingeng
dc.subjectInvestor Behavioreng
dc.subjectAnonymous Transaction Dataeng
dc.subject.ddc330 Wirtschaft
dc.titleShort-Term Herding of Institutional Traders
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100185834
dc.identifier.doihttp://dx.doi.org/10.18452/4305
local.edoc.pages30
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2011
dc.title.subtitleNew Evidence from the German Stock Market
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2011,15

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