The Price Impact of Institutional Herding

• 成果类型: Article
• 署名作者: Dasgupta, Amil; Prat, Andrea; Verardo, Michela
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq137
• 发表日期: 2011
• 页码: 892
• 关键词: cross-section; STOCK; momentum; MARKET; liquidity; BEHAVIOR; individuals; volume; sales; ask

摘要

We develop a simple model of the price impact of institutional herding. The empirical literature indicates that institutional herding positively predicts short-term returns but negatively predicts long-term returns. We offer a theoretical resolution to this dichotomy. In our model, career-concerned money managers trade with security dealers endowed with market power and exhibit an endogenous tendency to imitate past trades. This tendency is exploited by dealers and thus affects prices. In equilibrium, institutional herding positively predicts short-term returns but negatively predicts long-term returns. Our article also generates several new, testable predictions that link institutional herding with the time-series properties of returns and volume.