-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions … sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis. …

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 …