Dasgupta, Amil; Prat, Andrea; Verardo, Michela - In: Review of Financial Studies 24 (2011) 3, pp. 892-925
We develop a simple model of the price impact of institutional herding. The empirical literature indicates that institutional herding positively predicts short-term returns but negatively predicts long-term returns. We offer a theoretical resolution to this dichotomy. In our model,...