Institutional industry herding

被引：242

作者：

Choi, Nicole ^{[2
]}

Sias, Richard W. ^{[1
]}

机构：

[1] Washington State Univ, Coll Business, Dept Finance Insurance & Real Estate, Pullman, WA 99164 USA

[2] Univ Wyoming, Coll Business, Dept Econ & Finance, Laramie, WY 82071 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 94卷 / 03期

关键词：

Herding; Institutional investors; Style investing; STOCK RETURNS; STRATEGIC DELAY; CROSS-SECTION; INVESTMENT; PRICES; INVESTORS; BEHAVIOR; STYLE; PERFORMANCE; INFORMATION;

D O I：

10.1016/j.jfineco.2008.12.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether institutional investors follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional industry herding. The cross-sectional correlation between the fraction of institutional traders buying an industry this quarter and the fraction buying last quarter, for example, averages 40%. Additional tests suggest that correlated signals primarily drive institutional industry herding. Our results also provide empirical support for "style investing'' models. Published by Elsevier B.V.

引用

页码：469 / 491

页数：23

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