Institutional industry herding

• 成果类型: Article
• 署名作者: Choi, Nicole; Sias, Richard W.
• 署名单位: Washington State University; University of Wyoming
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.12.009
• 发表日期: 2009
• 页码: 469-491
• 关键词: Herding; institutional investors; Style investing

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.