The Price Impact of Same- and Opposing-Direction Herding by Institutions with Different Investment Horizons

Iqbal M. S., Salih A., Akdeniz L.

FINANCE RESEARCH LETTERS, cilt.40, 2021 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 40
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1016/j.frl.2020.101692
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: Long-Term Returns, Institutional Herding, Investment Horizon, INVESTORS, MARKET, MATTER
  • TED Üniversitesi Adresli: Evet

Özet

This paper examines the price impact of the herding behaviour of short- and long-horizon institutional investors. We categorize the institutional herding as same-side herding when both types of institutions herd on the buy-side or sell-side together and as opposite-side herding when short-horizon institutions buy while the long-horizon institutions sell or vice versa. We find that the previously documented destabilizing impact of long-horizon institutional herding is only observed on opposite-side herding. Moreover, short-horizon institutional herding improves the stock price discovery process confirming the belief that they are more informed.