Short Term Institutional Herding And Its Impact On Stock Prices
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| Author | : Andy Puckett |
| Publisher | : |
| Total Pages | : 47 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Short-Term Institutional Herding and its Impact on Stock Prices Book in PDF, Epub and Kindle
Using the trades of 776 institutional investors from 1999 to 2004, we examine the existence and impact of short-term institutional herding. We report robust evidence of herding at the weekly frequency using the Lakonishok, Shleifer, and Vishny (1992) measure and the Sias (2004) measure. More importantly, we find that these weekly herds significantly affect the efficiency of security prices. We document strong evidence of return reversals following short-term sell herds and weak evidence of return continuations following short-term buy herds. Our results are consistent with short-term sell herds being motivated by behavioral considerations and driving asset prices away from fundamental values. Alternatively, the absence of return reversals following short-term buy herds suggest that these herds are information based and help impound new information into security prices.
| Author | : H. Zafer Yuksel |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Does Investment Horizon Matter? Disentagling the Effect of Institutional Herding on Stock Prices Book in PDF, Epub and Kindle
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 are better informed than long-term institutions. Motivated by heterogeneity in the level of informativeness between short-term and long-term institutional trading, this study disentangles the price impact of short-term and long-term institutional herding. Our results show that herding by short-term institutions promotes price discovery. In contrast, herding by long-term institutions drives stock prices away from fundamentals. Taken together, our findings suggest that the stabilizing effect documented in the existing literature is mainly driven by short-term institutions, and the destabilizing effect of long-term institutional herding persists up to eight quarters.
| Author | : Amil Dasgupta |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2010 |
| Genre | : Portfolio management |
| ISBN | : |
Download The price impact of institutional herding Book in PDF, Epub and Kindle
| Author | : Sushil Bikhchandani |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2000 |
| Genre | : Capital market |
| ISBN | : |
Download Herd Behavior in Financial Markets Book in PDF, Epub and Kindle
| Author | : Stephanie Kremer |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Short-term Herding of Institutional Traders Book in PDF, Epub and Kindle
| Author | : Josef Lakonishok |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 1991 |
| Genre | : Capitalists and financiers |
| ISBN | : |
Download Do Institutional Investors Destabilize Stock Prices? Book in PDF, Epub and Kindle
Includes bibliographical references (p. 24)
| Author | : Irwin Friend |
| Publisher | : McGraw-Hill Companies |
| Total Pages | : 228 |
| Release | : 1970 |
| Genre | : Business & Economics |
| ISBN | : |
Download Mutual Funds and Other Institutional Investors Book in PDF, Epub and Kindle
"A Twentieth Century Fund study." Includes bibliographical references.
| Author | : Martin T. Bohl |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : Assets (Accounting) |
| ISBN | : |
Download Short-selling Bans and Institutional Investors' Herding Behaviour Book in PDF, Epub and Kindle
"Surprisingly, little is known about the effects of short-sale constraints on herd behaviour. Since institutional investors have come to dominate mature stock markets and rely extensively on short sales, constraining these traders may influence the asset pricing process. The literature on short-selling restrictions focusses mainly on a ban's impact on market efficiency, liquidity and overpricing. The authors examine bans on selected financial stocks in six countries during the 2008-2009 global financial crisis, which provided a setting to analyze the impact of short-sale restrictions. In particular, the authors focussed on short-sale constraints' effect on institutional investors' trading behaviour and the possibility of generating herding behaviour. They conclude that the empirical evidence shows that short-selling restrictions exhibit either no influence on herding formation or induce adverse herding." --
| Author | : G. Gregoriou |
| Publisher | : Springer |
| Total Pages | : 446 |
| Release | : 2015-12-17 |
| Genre | : Business & Economics |
| ISBN | : 0230626505 |
Download Diversification and Portfolio Management of Mutual Funds Book in PDF, Epub and Kindle
This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.
| Author | : Linda H. Chen |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Herding on Earnings News Book in PDF, Epub and Kindle
We examine the role of institutional investors underlying post-earnings-announcement drift (PEAD). Our results show that while institutional investors generally herd on earnings news, such correlated trading among institutions does not eliminate or reduce market underreaction to earnings surprises. Instead, PEAD is significant only in the subsample of stocks where institutions herd in the same direction as earnings surprises. In fact, institutional herding is also positively related to next-quarter earnings announcement returns. We provide evidence that institutional herding on or against earnings news is largely driven by firm characteristics, particularly past firm performance and stock returns. In addition, we find that relative to non-transient institutions, transient institutions have a stronger tendency to herd on earnings information. Finally, based on long-run stock returns, we show that when institutions herd on earnings surprises, institutional trading represents a gradual process of incorporating information into stock prices. On the other hand, when institutions herd against earnings surprises, institutional trading slows down stock price discovery.
