probability of inefficient herding. The analysis also suggests that markets with quick response to investment decisions, such as …

depositors of a failed bank can migrate to the surviving bank, then herding incentives are partially mitigated and this gives … localized nature of contagion and herding, and the welfare properties, are also characterized. …

We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the … factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular … sectors or styles in the market including the market index itself and critically we can also separate such herding from common …

Most real world situations that are susceptible to herding are also characterized by direct payoff externalities. Yet …, the bulk of the theoretical and experimental literature on herding has focused on pure informational externalities. In … effects, first-mover advantage, etc.) in a standard information-based herding model. Our results are based on an internet …

predecessors even when their own signal suggests the opposite. This herding behaviour may lead the society to an inefficient … to a decline in the probability of inefficient herding, because the first movers are more likely to make the correct …

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …