Bellando, Raphaëlle - In: Economics Bulletin 32 (2012) 2, pp. 1537-1544
We address the Lakonishok, Shleifer and Vishny (LSV) herding measure. Frey, Herbst and Walter (FHW) have shown by empirical simulations that LSV is biased. Using a theoretical model we provide a formal explanation of this bias, and show that a corrected herding measure depends on some...