Institutional Herding and Its Impact on Stock Prices

摘要：

We document that herds by institutions usually last for more than one quarter and that herds occur more frequently for small and medium size stocks. We find that after herds end, there are reversals in stock returns for up to four quarters. The magnitude of reversals is positively related to the duration of herding, and negatively related to the price impact of current herding activity. This pattern in returns prevails for all subperiods examined and is concentrated in small and medium size stocks. Our findings suggest that institutional herding may destabilize stock prices.

作者: Honghui Chen Hoang Huy Nguyen

作者单位: College of Business Administration University of Central Florida Orlando,FL 32816 Merrick School of Business University of Baltimore Baltimore,MD 21201

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-48

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）