A Correction of LSV Herding Measure

摘要：

This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of internal consistency. Frey, Herbst and Walter (2007) have shown by empirical simulations that LSV is biased, so the LSV herding measure should be corrected or modified to some extent. A more appropriate measure of herding using corrected adjustment factor has been proposed here. As corrected measure requires a prior knowledge of some parameters of the distribution, it is concluded that testing the corrected LSV herding measure is a much more difficult task than considered so far.

关键词： LSV herding measure corrected adjustment factor correction of-LSV

作者: Mei CHEN Liang GUO

作者单位: School of Economics and Management, Chongqing ThreeGorges UniversityChongqing, China School of Economics and Management, Chongqing Three Gorges University Chongqing, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 362-366

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）