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