We examine herding in US corporate bond and equity markets between 2008-2018. Conditioning on market liquidity and volatility, we find significant asymmetric herding behavior in both markets. More specifically, we document a positive relationship between herding and market liquidity, with the...

This study investigates and compares herding in US corporate bond and equity markets between January 2008 and December 2018. Our initial unconditional tests detect significant herding in speculative grade (high yield) corporate bonds only. However, once we condition on market liquidity and...