Short-Term Herding of Institutional Traders
dc.contributor.author | Kremer, Stephanie | |
dc.contributor.author | Nautz, Dieter | |
dc.date.accessioned | 2017-06-16T00:18:58Z | |
dc.date.available | 2017-06-16T00:18:58Z | |
dc.date.created | 2011-04-19 | |
dc.date.issued | 2011-03-10 | |
dc.date.submitted | 2011-03-10 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4957 | |
dc.description.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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Institutional Trading | eng |
dc.subject | Herding | eng |
dc.subject | Investor Behavior | eng |
dc.subject | Anonymous Transaction Data | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Short-Term Herding of Institutional Traders | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100185834 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4305 | |
local.edoc.pages | 30 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2011 | |
dc.title.subtitle | New Evidence from the German Stock Market | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2011,15 |