The price impact of institutional herding

Review of Financial Studies

Volumn 24, Issue 3, 2011, Pages 892-925

  Dasgupta, Amil ^a   Prat, Andrea ^a   Verardo, Michela ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79952132539     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhq137     Document Type: Article

References (54)

1. Acharya, V., and L. Pedersen. 2005. Asset Pricing with Liquidity Risk. Journal of Financial Economics 77:375-410. (Pubitemid 40975908)
2. Allen, F., and G. Gorton. 1993. Churning Bubbles. Review of Economic Studies 60:813-36.
3. Avery, C., and J. Chevalier. 1999. Herding over the Career. Economics Letters 63:327-33.
4. Avery, C., and P. Zemsky. 1998. Multidimensional Uncertainty and Herd Behavior in Financial Markets. American Economic Review 88:724-48. (Pubitemid 128457283)
5. Avramov, D., T. Chordia, and A. Goyal. 2006. Liquidity and Autocorrelations in Individual Stock Returns. Journal of Finance 61:2365-94. (Pubitemid 44414100)
6. Baker, M., and J. C. Stein. 2004. Market Liquidity as a Sentiment Indicator. Journal of Financial Markets 7:271-99. (Pubitemid 38407654)
7. Banerjee, A. 1992. A Simple Model of Herd Behavior. Quarterly Journal of Economics 107:797-817.
8. Bikhchandani, S., D. Hirshleifer, and I. Welch. 1992. A Theory of Fads, Fashion, Custom, and Cultural Change as Information Cascades. Journal of Political Economy 100:992-1026.
9. Brennan, M. J., T. Chordia, and A. Subrahmanyam. 1998. Alternative Factor Specifications, Security Characteristics, and the Cross-section of Expected Returns. Journal of Financial Economics 49:345-73. (Pubitemid 128440543)
10. Brown, K. C., W. V. Harlow, and L. T. Starks. 1996. Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry. Journal of Finance 51:85-110.
11. Brown, N., K.Wei, and R.Wermers. 2009. Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices. http://ssrn.com/abstract= 1092744.
12. Cochrane, J. 2003. Stocks as Money: Convenience Yield and the Tech-stock Bubble. NBER Working Paper 8987.
13. Cohen, R. B., P. A. Gompers, and T. Vuolteenaho. 2002. Who Underreacts to Cash-flow News? Evidence from Trading between Individuals and Institutions. Journal of Financial Economics 66:409-62.
14. Connolly, R., and C. Stivers. 2003. Momentum and Reversals in Equity-index Returns during Periods of Abnormal Turnover and Return Dispersion. Journal of Finance 58:1521-55. (Pubitemid 37311692)
15. Cooper, M. 1999. Filter Rules Based on Price and Volume in Individual Security Overreaction. Review of Financial Studies 12:901-35.
16. Copeland, T., and D. Galai. 1983. Information Effects on the Bid-ask Spread. Journal of Finance 38: 1457-69.
17. Coval, J., and E. Stafford. 2007. Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics 86:479-512.
18. Cuoco, D., and R. Kaniel. Forthcoming. Equilibrium Prices in the Presence of Delegated Portfolio Management. Journal of Financial Economics.
19. Dasgupta, A., and A. Prat. 2006. Financial Equilibrium with Career Concerns. Theoretical Economics 1:67-93.
20. -. 2008. Information Aggregation in Financial Markets with Career Concerns. Journal of Economic Theory 143:83-113.
21. Dasgupta, A., A. Prat, and M. Verardo. 2010. The Price Impact of Institutional Herding. CEPR Discussion Paper No. 7804.
22. -. Forthcoming. Institutional Trade Persistence and Long-term Equity Returns. Journal of Finance.
23. Datar, V., N. Naik, and R. Radcliffe. 1998. Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets 1:203-19. (Pubitemid 128338852)
24. Dennis, P., and D. Strickland. 2002. Who Blinks in Volatile Markets, Individuals or Institutions? Journal of Finance 57:1923-50.
25. Ellis, K., R. Michaely, and M. O'Hara. 2002. The Making of a Dealer Market: From Entry to Equilibrium in the Trading of Nasdaq Stocks. Journal of Finance 57:2289-316. (Pubitemid 36932114)
26. Frazzini, A., and O. Lamont. 2008. Dumb Money: Mutual Fund Flows and the Cross-section of Stock Returns. Journal of Financial Economics 88:299-322.
27. Gervais, S., and T. Odean. 2001. Learning to be Overconfident. Review of Financial Studies 14:1-27. (Pubitemid 33587383)
28. Glosten, L., and P. Milgrom. 1985. Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders. Journal of Financial Economics 14:71-100.
29. Goetzmann, W. N., and M. Massa. 2002. Daily Momentum and Contrarian Behavior of Index Fund Investors. Journal of Financial and Quantitative Analysis 37:375-90.
30. Green, R. C., B. Hollifield, and N. Schurhoff. 2007. Financial Intermediation and Costs of Trading in an Opaque Market. Review of Financial Studies 20:275-314.
31. Griffin, J. M., J. H. Harris, and S. Topaloglu. 2003. The Dynamics of Institutional and Individual Trading. Journal of Finance 58:2285-320. (Pubitemid 37488588)
32. Grinblatt, M. S. Titman, and R. Wermers. 1995. Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. American Economic Review 85:1088-105.
33. Guerrieri, V., and P. Kondor. 2009. Fund Managers, Career Concerns, and Asset Price Volatility. NBERWorking Paper No. 14898.
34. Gutierrez, R. C., and E. Kelley. 2009. Institutional Herding and Future Stock Returns. *http://ssrn.com/abstract =1107523.
35. He, Z., and A. Krishnamurthy. 2008. Intermediary Asset Pricing. NBER Working Paper No. 14517.
36. Holmstrom, B. 1999. Managerial Incentive Problems: A Dynamic Perspective. Review of Economic Studies. 66:169-82.
37. Hong, H., J. Scheinkman, and W. Xiong. 2006. Asset Float and Speculative Bubbles. Journal of Finance 61:1073-117. (Pubitemid 44001308)
38. Hong, H., and J. C. Stein. 2007. Disagreement and the Stock Market. Journal of Economic Perspectives 21:109-28.
39. Kaniel, R., G. Saar, and S. Titman. 2008. Individual Investor Trading and Stock Returns. Journal of Finance 63:273-310.
40. Lakonishok, J., A. Shleifer, and R.W. Vishny. 1992. The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics 32:23-43.
41. Lamont, O., and R. Thaler. 2003. Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs. Journal of Political Economy 111:227-68. (Pubitemid 36685035)
42. Lee, C. M. C., and B. Swaminathan. 2000. Price Momentum and Trading Volume. Journal of Finance 55:2017-69.
43. Llorente, G., R. Michaely, G. Saar, and J. Wang. 2002. Dynamic Volume-return Relation of Individual Stocks. Review of Financial Studies 15:1005-47. (Pubitemid 37496177)
44. Mei, J., J. Scheinkman, andW. Xiong. 2009. Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia. Annals of Economics and Finance 10:225-55.
45. Nagel, S. 2005. Short Sales, Institutional Investors, and the Cross-section of Stock Returns. Journal of Financial Economics 78:277-309. (Pubitemid 41511904)
46. Nofsinger, J., and R. Sias. 1999. Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54:2263-95.
47. Ofek, E., and M. Richardson. 2003. Dotcom Mania: The Rise and Fall of Internet Stock Prices. Journal of Finance 58:1113-37. (Pubitemid 37311703)
48. Scharfstein, D., and J. Stein. 1990. Herd Behavior and Investment. American Economic Review 80:465-79.
49. Scheinkman, J., and W. Xiong. 2003. Overconfidence and Speculative Bubbles. Journal of Political Economy 111:1183-219. (Pubitemid 38144114)
50. Schultz, P. 2003. Who Makes Markets. Journal of Financial Markets 6:49-72.
51. Sias, R. 2004. Institutional Herding. Review of Financial Studies 17:165-206. (Pubitemid 38170001)
52. Trichet, J.-C. 2001. Preserving Financial Stability in an Increasing Globalized World. BIS Review 54:1-4.
53. Vayanos, D., and P. Woolley. 2008. An Institutional Theory of Momentum and Reversal. NBER Working Paper No. 14523.
54. Wermers, R. 1999. Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance 54:581-622.