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Activity Number: 83
Type: Contributed
Date/Time: Sunday, August 4, 2013 : 4:00 PM to 5:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #309209
Title: Herding Through the Tails
Author(s): Jose Faias*+
Companies: Catolica Lisbon SBE
Keywords: Institutional ownership ; herding ; extreme events ; abnormal returns ; performance
Abstract:

This paper investigates institutional herding for extreme event-days in the US stock market between 2000 and 2010. We show that, for more extreme return' stocks, abnormal returns and abnormal turnover are strongly linked to institutional ownership. Six month post-event performance show evidence of overreaction and underreaction by institutions on the event-days, consistent to findings related to informational cascades and the uncertain information hypothesis.


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