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|z 9781455211692
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|a Guarino, Antonio.
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|a Estimating a Structural Model of Herd Behavior in Financial Markets /
|c Antonio Guarino, Marco Cipriani.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2010.
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|a 1 online resource (33 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural 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 Incorporated) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.
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|a Mode of access: Internet
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|a Cipriani, Marco.
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|a IMF Working Papers; Working Paper ;
|v No. 2010/288
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2010/288/001.2010.issue-288-en.xml
|z IMF e-Library
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