This paper sheds new light on the impact of information risk and market stress on herding of institutional traders from … herding intensity should increase with information risk. Market stress should affect herding asymmetrically: while there is … more sell herding when the market becomes more pessimistic and more uncertain, buy herding intensity should decrease. We …

This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional … investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding … behavior occurs on a daily basis. However, in contrast to longer-term herding measures obtained from quarterly data, results …

a herd model to derive theory-guided predictions regarding the impact of various aspects of uncertainty on herding …

Exiting studies document that institutional herding has a stabilizing effect on stock prices, as stock returns over one …- to three-quarter horizons are positively correlated with herding. The literature also shows that short-term institutions … herding. Our results show that herding by short-term institutions promotes price discovery. In contrast, herding by long …

Using the herding measures of Lakonishok, Shleifer and Vishny (1992) (LSV) and Frey, Herbst and Walter (2007) (FHW), we … assess herding by French equity mutual funds between 1999 and 2005. We show that LSV herding amounts to 6.5% while FHW … herding is about 2.5 times stronger. We observe that herding is stronger in small than in medium and large capitalization …

a herd model to derive theory-guided predictions regarding the impact of various aspects of uncertainty on herding …