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 …

only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical … simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high …-frequency, investorspecific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding …