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Herding and delegated portfolio management : the impact of relative performance evaluation on asset allocation

Maug, Ernst; Naik, Narayan Y. - In: The quarterly journal of finance 1 (2011) 2, pp. 265-292

Persistent link: https://www.econbiz.de/10009309750

Firm specific and macro herding by professional and amateur investors and their effects on market volatility

Venezia, Itzhak; Nashikkar, Amrut; Shapira, Zur Baruch - 2011

Persistent link: https://www.econbiz.de/10009311594

Structural stochastic volatility in asset pricing dynamics : estimation and model contest

Franke, Reiner; Westerhoff, Frank H. - 2011

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 …

Persistent link: https://www.econbiz.de/10009007642

Regulating asset price risk

Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

Persistent link: https://www.econbiz.de/10009009577