Replication data for: Estimating a Structural Model of Herd Behavior in Financial Markets
Principal Investigator(s): View help for Principal Investigator(s) Marco Cipriani; Antonio Guarino
Version: View help for Version V1
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LICENSE.txt | text/plain | 14.6 KB | 10/11/2019 05:30:PM |
Project Citation:
Cipriani, Marco, and Guarino, Antonio. Replication data for: Estimating a Structural Model of Herd Behavior in Financial Markets. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112725V1
Project Description
Summary:
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We develop a new methodology to estimate herd behavior in financial
markets. We build a model of informational herding that can
be estimated with financial transaction data. In the model, rational
herding arises because of information-event uncertainty. We estimate
the model using data on a NYSE stock (Ashland Inc.) during 1995.
Herding occurs often and is particularly pervasive on some days. On
average, the proportion of herd buyers is 2 percent; that of herd sellers
is 4 percent. Herding also causes important informational inefficiencies
in the market, amounting, on average, to 4 percent of the
asset's expected value.
Scope of Project
JEL Classification:
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C58 Financial Econometrics
D82 Asymmetric and Private Information; Mechanism Design
D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
C58 Financial Econometrics
D82 Asymmetric and Private Information; Mechanism Design
D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
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