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| Raphaëlle Bellando |
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| ''The bias in a standard measure of herding'' |
| ( 2012, Vol. 32 No.2 ) |
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| 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. |
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| Keywords: herding, herding measures, fund management |
JEL:
G2 - Financial Institutions and Services: General |
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| Manuscript Received : Feb 01 2012 | | Manuscript Accepted : May 21 2012 |
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