Herding among investment newsletters: Theory and evidence

• 成果类型: Article
• 署名作者: Graham, JR
• 署名单位: Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00103
• 发表日期: 1999
• 页码: 237-268
• 关键词: informational cascades; performance; reputation; BEHAVIOR; MARKET; recommendations; decisions; forecasts; analysts; sales

摘要

A model is developed which implies that if an analyst has high reputation or low ability, or if there is strong public information that is inconsistent with the analyst's private information, she is likely to herd. Herding is also common when informative private signals are positively correlated across analysts. The model is tested using data from analysts who publish investment newsletters. Consistent with the model's implications, the empirical results indicate that a newsletter analyst is likely to herd on Value Line's recommendation if her reputation is high, if her ability is low, or if signal correlation is high.