This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of internal consistency. Frey, Herbst and Walter (2007) have shown by empirical simulations that LSV is biased. We provide a formal explanation of this bias and propose a more...

In this paper, we use the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV indicator) and a more recent measure by Frey, Herbst and Walter (2007) (FHW indicator) in order to assess the intensity of herding by French equity mutual funds and to compare it to institutional...

This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of internal consistency. Frey, Herbst and Walter (2007) have shown by empirical simulations that LSV is biased. We provide a formal explanation of this bias and propose a more...

Using the herding measures of Lakonishok, Shleifer and Vishny (1992) (LSV) and Frey, Herbst and Walter (2007) (FHW), we assess herding by French equity mutual funds between 1999 and 2005. We show that LSV herding amounts to 6.5% while FHW herding is about 2.5 times stronger. We observe that...