The bias in a standard measure of herding

We address the Lakonishok, Shleifer and Vishny (LSV) herding measure. Frey, Herbst and Walter (FHW) have shown by empirical simulations that LSV is biased. Using a theoretical model we provide a formal explanation of this bias, and show that a corrected herding measure depends on some unobservable parameters. This suggests that assessing herding intensity with this kind a more difficult task than considered up to now in the empirical literature.

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Year of publication:	2012
Authors:	Bellando, Raphaëlle
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 2, p. 1537-1544
Publisher:	AccessEcon
Subject:	herding \| herding measures \| fund management

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278874