We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and … to order imbalances. Investors demand compensations for herding. A 1% increase in the degree of herding this year …

these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so … good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding …

This paper tests for the presence of herding on the New York Stock Exchange (NYSE). We measure the degree of herding … from 1998-2001, the “bubble” period and its collapse. We estimate the incidence of herding by applying a test of serial … function efficiently for the most part. However, the market does show some evidence of systemic herding. Second, the herding …

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …