| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7804 |
| DP7804 The Price Impact of Institutional Herding | |
| Andrea Prat; Amil Dasgupta; Michela Verardo | |
| 发表日期 | 2010-05-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has come to the intriguing conclusion 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 interact with profit-motivated proprietary traders and security dealers endowed with market power. We show that the reputational concerns of fund managers imply an endogenous tendency to imitate past trades, which impacts the prices of the assets they trade. In our main result, we show that institutional herding positively predicts short-term returns but negatively predicts long-term returns. Our theory thus provides a simple and unified framework within which to interpret the empirical literature on the price impact of institutional herding. In addition, our paper generates several new testable predictions linking institutional herding behavior, trading volume, and the time-series properties of stock returns. |
| 主题 | Financial Economics |
| 关键词 | Career concerns Institutional herding Price impact |
| URL | https://cepr.org/publications/dp7804 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536641 |
| 推荐引用方式 GB/T 7714 | Andrea Prat,Amil Dasgupta,Michela Verardo. DP7804 The Price Impact of Institutional Herding. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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