Institutional Herding and Its Impact on Stock Prices

机译：机构放牧及其对股票价格的影响

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We document that herds by institutions usually last for more than one quarter and that herds occur more frequently for small and medium size stocks. We find that after herds end, there are reversals in stock returns for up to four quarters. The magnitude of reversals is positively related to the duration of herding, and negatively related to the price impact of current herding activity. This pattern in returns prevails for all subperiods examined and is concentrated in small and medium size stocks. Our findings suggest that institutional herding may destabilize stock prices.

机译：我们记录到，机构的牛群通常会持续四分之一以上，中小型股票的牛群发生频率更高。我们发现，在畜群结束后，股票回报率出现了多达四个季度的逆转。逆转的幅度与放牧持续时间成正相关，与当前放牧活动的价格影响负相关。这种收益率模式适用于所有考察的子时期，并且集中在中小型股票上。我们的发现表明，机构放牧可能会使股票价格不稳定。

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来源
《2008 China international conference in finance》|2008年|p.1-48|共48页
会议地点 Dalian(CN);Dalian(CN)
作者
Honghui Chen; Hoang Huy Nguyen;
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作者单位

College of Business Administration University of Central Florida Orlando,FL 32816;

Merrick School of Business University of Baltimore Baltimore,MD 21201;

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会议组织
原文格式 PDF
正文语种 eng
中图分类财政、金融;
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Institutional Herding and Its Impact on Stock Prices

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