Replication data for: Estimating a Structural Model of Herd Behavior in Financial Markets
- Cipriani, Marco
- Guarino, Antonio
AbstractWe 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.
Is supplement to
DOI: 10.1257/aer.104.1.224 (Text)
Cipriani, Marco, and Antonio Guarino. “Estimating a Structural Model of Herd Behavior in Financial Markets.” American Economic Review 104, no. 1 (January 2014): 224–51. https://doi.org/10.1257/aer.104.1.224.
- ID: 10.1257/aer.104.1.224 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12