Institutional industry herding

被引：237

作者：

Choi, Nicole ^{[2
]}

Sias, Richard W. ^{[1
]}

机构：

[1] Washington State Univ, Coll Business, Dept Finance Insurance & Real Estate, Pullman, WA 99164 USA

[2] Univ Wyoming, Coll Business, Dept Econ & Finance, Laramie, WY 82071 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 94卷 / 03期

关键词：

Herding; Institutional investors; Style investing; STOCK RETURNS; STRATEGIC DELAY; CROSS-SECTION; INVESTMENT; PRICES; INVESTORS; BEHAVIOR; STYLE; PERFORMANCE; INFORMATION;

D O I：

10.1016/j.jfineco.2008.12.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether institutional investors follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional industry herding. The cross-sectional correlation between the fraction of institutional traders buying an industry this quarter and the fraction buying last quarter, for example, averages 40%. Additional tests suggest that correlated signals primarily drive institutional industry herding. Our results also provide empirical support for "style investing'' models. Published by Elsevier B.V.

引用

页码：469 / 491

页数：23

共 59 条

[1] [Anonymous], 2006, TICKER MAGAZINE
[2] Momentum trading by institutions
Badrinath, SG
Wahal, S
[J]. JOURNAL OF FINANCE, 2002, 57 (06) : 2449 - 2478
[3] A SIMPLE-MODEL OF HERD BEHAVIOR
BANERJEE, AV
[J]. QUARTERLY JOURNAL OF ECONOMICS, 1992, 107 (03) : 797 - 817
[4] Comovement
Barberis, N
Shleifer, A
Wurgler, J
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2005, 75 (02) : 283 - 317
[5] Style investing
Barberis, N
Shleifer, A
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2003, 68 (02) : 161 - 199
[6] STEALTH TRADING AND VOLATILITY - WHICH TRADES MOVE PRICES
BARCLAY, MJ
WARNER, JB
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1993, 34 (03) : 281 - 305
[7] A THEORY OF FADS, FASHION, CUSTOM, AND CULTURAL-CHANGE AS INFORMATIONAL CASCADES
BIKHCHANDANI, S
HIRSHLEIFER, D
WELCH, I
[J]. JOURNAL OF POLITICAL ECONOMY, 1992, 100 (05) : 992 - 1026
[8] BOYER B, 2004, WHO MOVES MARK UNPUB
[9] BROWN N, 2007, ANAL RECOMMEND UNPUB
[10] CAMPBELL J, 2007, 6390 CTR EC POL RES

← 1 2 3 4 5 6 →