Showing 1 - 10 of 32
There are many economic environments in which an object is offered sequentially to prospective buyers. It is often observed that once the object for sale is turned down by one or more agents, those that follow do the same. One explanation that has been proposed for this phenomenon is that agents...
Persistent link: https://www.econbiz.de/10012660090
According to the widely known 'culture of honor' hypothesis from social psychology, traditional herding practices are believed to have generated a value system that is conducive to revenge-taking and violence. We test this idea at a global scale using a combination of ethnographic records,...
Persistent link: https://www.econbiz.de/10012629470
The dangers of shouting "fire" in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the risk,...
Persistent link: https://www.econbiz.de/10012463353
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...
Persistent link: https://www.econbiz.de/10012464003
This paper develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new...
Persistent link: https://www.econbiz.de/10012465790
Previous empirical studies of information cascades use either naturally occurring data or laboratory experiments with student subjects. We combine attractive elements from each of these lines of research by observing market professionals from the Chicago Board of Trade (CBOT) in a controlled...
Persistent link: https://www.econbiz.de/10012465894
This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The overall picture from these preliminary results is that there...
Persistent link: https://www.econbiz.de/10012467650
Does country transparency affect international portfolio investment? We examine this and related questions using some new measures of transparency and a unique micro dataset on international portfolio holdings. We distinguish between government and corporate transparency. There is clear evidence...
Persistent link: https://www.econbiz.de/10012469449
This paper uses a new data set of quarterly portfolio holdings of 769 all-equity pension funds between 1985 and 1989 to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding, which refers to buying (selling) the same stocks...
Persistent link: https://www.econbiz.de/10012475147
Standard models of informed speculation suggest that traders try to learn information that others do not have. This result implicitly relies on the assumption that speculators have long horizons, i.e, can hold the asset forever. By contrast, we show that if speculators have short horizons, they...
Persistent link: https://www.econbiz.de/10012475787