Short-term herding of institutional traders: New evidence from the German stock market

Arbeitspapier

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 based on daily data do not indicate that short-term herding tends to be more pronounced in small capitalized stocks or in times of market stress. Moreover, we find that herding measures based on anony- mous transactions can lead to misleading results about the behavior of institutional investors during the recent financial crisis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2011-015

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Portfolio Choice; Investment Decisions ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Thema: herding ; investor behavior ; institutional trading ; anonymous transaction data ; Institutioneller Anleger ; Anlageverhalten ; Herdenverhalten ; Aktienmarkt ; Deutschland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kremer, Stephanie ; Nautz, Dieter
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56639
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ