Exiting studies document that institutional herding has a stabilizing effect on stock prices, as stock returns over one …- to three-quarter horizons are positively correlated with herding. The literature also shows that short-term institutions … herding. Our results show that herding by short-term institutions promotes price discovery. In contrast, herding by long …

We study the price impact of daily institutional herding induced by information events. Using analyst recommendation … changes as a proxy, we find that institutional herding on recommendation changes is short–lived. Daily institutional herding …, on average, destabilizes price. However, herding accompanied by information arrival has the opposite effect. We find no …

-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions … sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis. …

This paper shows that analysts' herding forecasts are accompanied by significant return reversals of 116 basis points … per month, while anti-herding forecasts render reversals insignificant. These results are magnified among illiquid stocks … and during high VIX months. Since analyst herding is specific to covered firms, we are also able to examine information …

We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and … to order imbalances. Investors demand compensations for herding. A 1% increase in the degree of herding this year …

and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise … the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining … also makes sure that the estimated structural parameters are well identified. -- Structural stochastic volatility ; method …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and … these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so … good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding …