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ralph lauren polo

 
Raphaëlle Bellando
 
''The bias in a standard measure of herding''
( 2012, Vol. 32 No.2 )
 
 
We address the Lakonishok, Shleifer and Vishny (LSV) herding measure. Frey, Herbst and Walter (FHW) have shown by empirical simulations that LSV is biased. Using a theoretical model we provide a formal explanation of this bias, and show that a corrected herding measure depends on some unobservable parameters. This suggests that assessing herding intensity with this kind a more difficult task than considered up to now in the empirical literature.
 
 
Keywords: herding, herding measures, fund management
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
G2 - Financial Institutions and Services: General
 
Manuscript Received : Feb 01 2012 Manuscript Accepted : May 21 2012

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