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Samadi, Samira. "Near-optimal Herding." Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/50167.
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Herding is an algorithm of recent interest in the machine learning community, motivated by inference in Markov random fields. It solves the following Sampling Problem: given a set Χ \subset R^d with mean μ, construct an infinite sequence of points from Χ such that, for every t ≥ 1, the mean of the first t points in that sequence lies within Euclidean distance O(1/t) of μ. The error of a solution to Sampling Problem is defined to be the distance between the empirical mean of the first t samples and the original mean μ.
The O(1/t) error bound suppresses the dependence on d and Χ. In this thesis, we study the best dependence on d and |Χ| that can be achieved for the error in Sampling Problem. Known analysis of the Herding algorithm give an error bound that depends on geometric properties of Χ but, even under favorable conditions, this bound depends linearly on d.
We first show that any algorithm for the Sampling Problem must have error Ω(√d/t). Afterward, we present a new polynomial-time algorithm that solves the Sampling Problem with error O(√d log^2.5|Χ|/t) assuming that Χ is finite. This implies that our algorithm is optimal to within logarithmic factors. Finally, we prove that the actual error of the Herding Algorithm is strictly worse than the error of our algorithm if we measure the error in the infinity-norm. Our algorithm is randomized and based on recent algorithmic results in discrepancy theory. We implement our algorithm and other potential solutions for the Sampling Problem and evaluate them on various inputs.Science, Faculty of
Computer Science, Department of
Graduate
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Hudson, Yawen. "Investor sentiment and herding : an empirical study of UK investor sentiment and herding behaviour." Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/17797.
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The objectives of this thesis are: first, to investigate the impact of investor sentiment in UK financial markets in different investment intervals through the construction of separate sentiment measures for UK investors and UK institutional investors; second, to examine institutional herding behaviour by studying UK mutual fund data; third, to explore the causal relation between institutional herding and investor sentiment. The study uses US, German and UK financial market data and investor sentiment survey data from 1st January 1996 to 30th June 2011. The impact of investor sentiment on UK equity returns is studied both in general, and more specifically by distinguishing between tranquil and financial crisis periods. It is found that UK equity returns are significantly influenced by US individual and institutional sentiment and hardly at all by local UK investor sentiment. The sentiment contagion across borders is more pronounced in the shorter investment interval. The investigation of institutional herding behaviour is conducted by examining return dispersions and the Beta dispersions of UK mutual funds. Little evidence of herding in return is found, however strong evidence of Beta herding is presented. The study also suggests that beta herding is not caused by market fundamental and macroeconomic factors, instead, it perhaps arises from investor sentiment. This is consistent between closed-end and open-ended funds. The relation between institutional herding and investor sentiment is investigated by examining the measures of herding against the measures of investor sentiment in the UK and US. It suggests that UK institutional herding is influenced by investor sentiment, and UK institutional sentiment has a greater impact as compared to UK market sentiment. Open-end fund managers are more likely to be affected by individual investor sentiment, whereas closed-end fund managers herd on institutional sentiment.
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Arnott, Elizabeth. "Wastage in Livestock Herding Dogs." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/18095.
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Working dogs contribute to many human endeavours. However, minimal research exists into Australia’s largest group of working dogs – the livestock herding dog. This knowledge gap exposes the sector to the risks of sub-optimal efficiency, compromised productivity and unacceptable animal welfare outcomes. This thesis aims to address this void by characterising the problem of livestock herding dog wastage and contributing to the incremental process of improving management, selection and breeding practices. Data from a questionnaire completed by 812 livestock herding dog owners on 4,027 dogs revealed that livestock working dogs typically provide a lifelong working contribution valued at approximately A$40,000, representing a 5.2-fold return on investment. At least 20% of livestock herding dogs are culled prematurely from work. Behavioural causes were cited for 89% of these failures. Management and owner characteristics associated with failure rates included; acquisition practices, housing methods, training approach, exercise frequency and owner personality and attitude to investment in their dog. To identify traits important to success, a selective sweep analysis comparing the genomic haplotype architecture of working and show Kelpies was undertaken. In the working Kelpie, a selective sweep spanning three megabases on chromosome 3 was identified in the region of genes related to fear-memory formation and pain perception. The Herding Dog Assessment Form - Personality (HDAF-P) was devised to collect behavioural data on herding dogs. Application of the HDAF-P to 261 working Kelpies provided a database of behavioural scores for 17 traits salient to working ability with those correlated most strongly to the owner’s assessment of overall ability being revealed as; initiative (T = 0.42, p < 0.001), intelligence (T = 0.38, p < 0.001), persistence (T = 0.38, p < 0.001), confidence (T=0.37, p < 0.001) and calmness (T=0.32, p < 0.001).
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Boortz, Christopher [Verfasser]. "Herding in Financial Markets / Christopher Boortz." Berlin : Freie Universität Berlin, 2016. http://d-nb.info/1105472345/34.
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Iannino, Maria Chiara. "Essays on stock splits and herding." Thesis, Queen Mary, University of London, 2011. http://qmro.qmul.ac.uk/xmlui/handle/123456789/1265.
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This thesis consists in an analysis of stock splits, and their relationship with dispersion of beliefs and herding. Chapter 1 introduces the topics that I tackle throughout the thesis. In particular, I motivate the interest in herding and stock splits presenting the unifying interpretation line among each chapter. Chapter 2 proposes a literature review on stock splits, focusing on the explanations that the theoretical literature suggests and the empirical evidence of the market reaction. Chapter 3 reports the results of an empirical analysis around the time of a stock split on the relation between the dispersion of beliefs among investors and the market reaction and future performance of the splitting company. We provide empirical results on a sample of US splits which occurred from 1993 to 2004. They show that, at the time around the announcement of a split, the distribution of the analysts forecasts changes in mean and dispersion. Moreover, an event study shows that the di¤erences of opinion have an impact on the future performance of the splitting firms and on the motivations behind the event. Chapter 4 focuses on a literature review of herding, and in particular on the empirical investigation of imitative behavior among institu- tional investors. Chapter 5 examines the relation between herding and stock splits. By herding we mean the abnormal correlation of trades among insti- tutional investors, according to the methodology developed by Sias (2004). We use data on the buying and selling activity of US insti- tutional investors, from 1994 to 2005. The results show a significant level of convergence in the overall market, both for splitting and non- splitting companies. We decompose this effect into the contributions of several types of herding. We observe the significant impact of informational cascades on the splitting stocks sample, while reputational herding and characteristic preference have a relevant impact on the non-splitting sample. The evidence of informational content in the split event is confirmed by the stabilizing effect of herding we find in the future returns of splitting companies. Chapter 6 concludes, summarizing the main results and contributions of the thesis.
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Sonaer, Gokhan. "Two Essays on Mutual Fund Herding." Diss., Virginia Tech, 2011. http://hdl.handle.net/10919/27663.
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This dissertation consists of two chapters. First chapter examines whether herding by actively managed equity funds affects their performance. For this purpose, first the effect of herding on stock returns is reexamined and evidence is found that, during the herding quarter, stocks bought intensely by herds outperform stocks sold intensely by herds. Controlling for subsequent quarter herding, this performance difference reverses, an indication that herding drives prices away from their fundamental values. It is also shown that herding funds benefit from this activity during the quarter in which they herd. The evidence is provided that herded stocks positively contribute to the herding fundsâ trade portfolio returns in the following quarter, but no association is found between the extent to which funds herd and their holding-based and subsequent quarter net returns. Introducing the concept of leader and follower funds this study shows that the subsequent quarter performance of funds that lead the herd is superior to that of follower funds. However, because leader and follower funds do not strongly retain their status overtime, they exhibit similar long-run performances.
Second chapter examines whether mutual funds herd in industries and the extent to which such herding impacts industry valuations and fund performance. Using two herding measures proposed by Lakonishok, Shleifer, and Vishny (1992) and Sias (2004) it is documented that mutual funds herd in industries beyond what would be expected by chance. It is shown that industry herding is not driven by investor flows and that it is not a manifestation of individual stock herding. The evidence suggests that, during the herding quarter(s), industries that experience strong buy herding by mutual funds outperform industries that experience strong sell herding. Industries that are subjected to strong herding by mutual funds exhibit no return reversals indicating that this activity does not destabilize industry values. Using a modified Grinblatt, Titman and Wermersâ (1995) fund herding measure that quantifies the degree to which a fund joins the herd during a given quarter, no compelling evidence is found that industry herding affects the subsequent performance of herding funds.Ph. D.
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Frosteby, Martin, and Silviu Iliesiu. "Does herding among Swedish institutional investors stabilize or destabilize stock prices?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298134.
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Empirical findings on herding behavior among institutional investors suggest that those market participants speed up the price adjustment to new information and as such stabilize stock prices. Other findings indicate the opposite, that institutional herds drive stock prices away from fundamental values, and thus destabilize stock prices. This study examines the effect that Swedish institutional investors have on the stock prices on the Stockholm Stock Exchange. More precisely, we analyze the relationship of institutional herding with future excess stock returns. Major findings from this paper suggest that persistent herding among Swedish institutional investors leads to future long-term return reversals, which to some extent indicates a destabilizing influence at long horizons.
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Lu, Zhenyu. "Cooperative optimal path planning for herding problems." [College Station, Tex. : Texas A&M University, 2006. http://hdl.handle.net/1969.1/ETD-TAMU-1028.
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Melissas, Nicolas. "Essays on herding, strategic waiting and cheaptalk." Doctoral thesis, Universite Libre de Bruxelles, 2000. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211821.
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Zhao, Jing, and 趙靜. "Cognitive limitation, herding behavior, and investment performance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/207201.
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This dissertation consists of two empirical essays about the cognitive limitation, herding behavior, and their association with investment performance. The essays utilize the detailed quotes and trades data in the Taiwan Futures Exchange with investor account identity, to study the cognitive limitation and herding behavior of the investors, and the association between the cognitive limitation, herding behavior, and the investment performance.
In the first essay, I hypothesize that cognitive limitation maybe manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts., I find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip trades. The positive correlation between cognitive ability and investment performance is monotonic and robust across futures and options markets. In addition, past trading experience helps mitigate the cognitive limitation.
The second essay studies the herding behavior of investors.
The second essay studies the herding behavior of investors. I find that individual investors trade in the same direction with other individual investors in the same branch of a broker. Individual investors’ tendency to herd is persistent, and it is negatively associated with their cognitive abilities and trading experience. The higher the herding tendency of an individual investor is, the worse she performs in her investments. Importantly, the negative association between herding and investment performance is driven by the orders that are traded in the same direction with other individual investors. Our results suggest that herding with other individuals imposes a direct cost to individual investors.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Kallinterakis, Vasileios. "Herding and feedback trading : an empirical investigation." Thesis, Durham University, 2006. http://etheses.dur.ac.uk/1296/.
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Carolino, Filipa Charneco da Costa Mora. "Herding behaviour in the portuguese stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16400.
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Mestrado em FinançasO comportamento de manada é o instinto dos animais para seguir o rebanho. Está presente nos humanos desde a pré-história e converge na modelação de comportamentos e crenças de um grande grupo dentro do qual se sentem seguros. Os seres humanos tendem a seguir as decisões dos outros, a fim de ficarem confortáveis, tendo em conta que se falharem vão estar em grupo e não sozinhos. Nesta dissertação, estudou-se a presença de comportamentos de manada no mercado de valores português. Inicialmente, esta dissertação foi construída sobre o trabalho de Chiang e Zheng (2010), que é uma melhoria do modelo de Chang et.al (2000). A presença do comportamento de manada aparece quando é verificada uma relação negativa e estatisticamente significante entre o retorno do mercado ao quadrado e a cross-sectional absolute deviation. Os resultados mostram que o comportamento de manada está presente no mercado de valores português. Além disso, investigou-se se o comportamento de manada é mais forte durante os períodos em que o mercado tem retornos positivos ou durante os períodos em que o mercado tem retornos negativos. Finalmente, foi estudado se os períodos de stress, ou seja, períodos de crise, influenciaram o comportamento de manada. Os resultados mostram que o comportamento de manada é mais forte durante os períodos em que o retorno é negativo e durante os períodos de crise. Durante períodos de incerteza, os indivíduos preferem ficar seguros e confortáveis seguindo as decisões dos outros.
Herding is the instinct of animals to follow the herd. It is also present in humans since the prehistory and converges by modelling behaviours and beliefs of the larger group within which they are secure. Humans tend to follow the other's decisions in order to be comfortable and not to fail alone. In this dissertation, the presence of herding behaviour in the Portuguese Stock Market was studied. Initially, it was built up on the work of Chiang and Zheng (2010), which is an improvement of the model of Chang et.al (2000). The presence of the herding behaviour appears when a negative and statistically significant relation between the squared market return and the cross section absolute deviation is verified. The results show that herding behaviour is present in Portuguese Stock Market. Also, it was investigated whether the herding behaviour is stronger during the down or up periods in the market. Finally, it was studied if stress movements influenced the herding behaviour. The results show that herding behaviour is stronger during down periods and during crisis period. During periods of uncertainty, people prefer to stay safe and comfortable following the decisions of others.
info:eu-repo/semantics/publishedVersion
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Sharma, Vivek. "Two Essays on Herding in Financial Markets." Diss., Virginia Tech, 2004. http://hdl.handle.net/10919/11161.
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The dissertation consists of two essays. In the first essay, we measure herding by institutional investors in the new economy (internet) stocks during 1998-2001 by examining the changes in the quarterly institutional holdings of internet stocks relative to an average stock. More than 95% of the stocks that are examined are listed on NASDAQ. The second essay attempts to detect intra-day herding using two new measures in an average NYSE stock during 1998-2001. In the second essay, rather than asking whether institutional investors herd in a specific segment of the market, we endeavor to ask if herding occurs in an average stock across all categories of investors.
The first essay analyzes herding in one of the largest bull runs in the history of U.S. equity markets. Instead of providing a corrective stabilizing force, banks, insurance firms, investment companies, investment advisors, university endowments, hedge funds, and internally managed pension funds participated in herds in the rise and to a lesser extent in the fall of new economy stocks. In contrast to previous research, we find strong evidence of herding by all categories of institutional investors across stocks of all sizes of companies, including the stocks of large companies, which are their preferred holdings. We present evidence that institutional investors herded into all performance categories of new economy stocks, and thus the documented herding cannot be explained by simple momentum-based trading. Institutional investors' buying exerted upward price pressure, and the reversal of excess returns in the subsequent quarter provides evidence that the herding was destabilizing and not based on information.
The second essay attempts to detect herding in financial markets using a set of two methodologies based on runs test and dependence between interarrival trade times. Our first and the most important finding is that markets function efficiently and show no evidence of any meaningful herding in general. Second, herding seems to be confined to very small subset of small stocks. Third, dispersion of opinion among investors does not have much of impact on herding. Fourth, analysts' recommendations do not contribute to herding. Last, the limited amount of herding on price increase days seems to be destabilizing but on the price decrease days, the herding helps impound fundamental information into security prices thus making markets more efficient. Our results are consistent with Avery and Zemsky (1998) prediction that flexible financial asset prices prevent herding from arising.
The seemingly contradictory results of the two essays can be reconciled based on the different sample of stocks, and the different methodologies of the two essays which are designed to detect different types of herding. In the first essay, herding is measured for NASDAQ-listed (primarily) internet stocks relative to an average stock, while the second essay documents herding for an average stock. In the first essay, we document herding in more volatile internet stocks, but we do not find any evidence of herding in more established NYSE stocks. The first essay examines herding by institutional investors, while the second essay examines herding, irrespective of the investor type. Consequently, in the first essay, we find that a subset of investors herd but in the second essay market as a whole does not exhibit any herding. Moreover, the first essay measures herding by examining the quarterly institutional holdings of internet stocks, while the second essay measures herding by examining the intra-day trading patterns for stocks. This suggests that it takes a while for investors to find out what others are doing leading to herding at quarterly interval but no herding is observed at intra-day level. The evidence presented in the two essays suggests that while institutional investors herded in the internet stocks during 1998-2001, there was very little herding by all investors in an average stock during this period.Ph. D.
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Wu, Bochen. "Intangible Assets and Financial Analysts Herding Behaviour." Thesis, The University of Sydney, 2017. http://hdl.handle.net/2123/17637.
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The question of whether financial analysts provide unbiased forecasts based on the information available to them has been widely discussed in the finance and accounting literature. Financial analysts play a vital role in disseminating information, and their forecasts are important inputs to financial markets. Hence, there is a pressing need to comprehensively understand their forecasting behaviour. Prior studies suggest that financial analysts tend to “herd”, i.e., produce forecasts that imitate each other’s, to avoid the risks to their future careers and reputations inherent in producing bad forecasts. However, the increasing presence and significance of firms’ intangible assets, combined with the difficulty of their valuation, has made analysts’ forecasting tasks increasingly challenging. This study investigates analyst herding behaviour, particularly that which is associated with the intensity of firms’ intangible assets. I used three accounting-based proxies to identify a positive association between firm-specific intangible assets and analyst herding behaviour. More specifically, I first investigated analysts’ herding tendencies at the individual level by examining revised earnings forecasts. As expected, all three proxies were positively and highly significantly, demonstrating that the probability of issuing a “herd forecast” increases with the amount of intangibles of the firm being analysed. The empirical results also demonstrate that analysts’ general experience does not significantly decrease their tendency to herd, while firm-specific experience does. This indicates that firm-specific knowledge or networking may help analysts to obtain high quality private information which helps them to avoid herding. Secondly, at the aggregate level (firm level), I examined the combination of cross-sectional forecast errors and the standard deviations of earnings forecasts. These were used to measure analyst herding behaviour. I found a positive association between firm-specific intangibles and analyst herding behaviour after controlling for various firm characteristics. In addition, compared with analysts who only provided earnings forecasts, analysts who issued both earnings and cash flow forecasts were less likely to herd when covering firms with intensive intangible assets. Finally, consistent with prior research, I found a negative association between analyst herding behaviour and firm market value. An additional determinant of analyst herding behaviour was found, which implies that financial analysts are less confident in their private information when the firms they are analysing have a high intensity of intangible assets. In addition, the results of this thesis confirm the notion that herding behaviour is correlated with task difficulty. This thesis has valuable implications for information dissemination mechanisms in financial markets. The private information of analysts tends to be underweighted and not fully reflected in their earnings forecasts.
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Rudhult, Maria. "Herding cats: Understanding the difficulties of European integration." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256334.
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The study is set out to contribute to an increased understanding of the structural problems that cause difficulties for the European Union to achieve common action, and contests the assumption that a permanent presidency of the European Council will solve these issues. This study describes the European Union as a meta-organisation and through organisational theory to understand the issue. It also reviews the original purpose of the European Coal and Steel Community to provide a historical understanding of the European Union as a meta-organisation. This study finds that the issues causing difficulties to achieve common action and to speak with one voice stems from inherent conflict of autonomy between the EU and its member states. The European Union’s misguided assumptions that increased authority through the appointment of a President will increase its decision-making abilities. As this research shows the European Union’s attempts to increase its authority is constantly met with member states unwillingness to give the increased authority at the price of their autonomy.
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Sanches, Milton Valejo. "Comportamento de manada em direção ao índice de mercado: evidências no mercado brasileiro de ações." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-14112013-170840/.
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Em finanças o comportamento de manada (herd behavior) é comumente associado a um importante elemento do comportamento dos investidores nos mercados financeiros, em especial durante períodos de crises financeiras. Muitas pesquisas nesta área procuraram compreender os motivadores teóricos desta anomalia de mercado e um grande número de experimentos procurou identificar e quantificar a presença do herding em mercados desenvolvidos e emergentes. No entanto, por se tratar de uma variável não observável diretamente, a dificuldade na sua mensuração é grande desafio das pesquisas nesta área. Neste estudo pretende-se verificar a presença deste viés comportamental e avaliar a dinâmica desta variável no mercado brasileiro de ações através do modelo proposto por Hwang e Salmon (2001 e 2004), mensurando-se o efeito manada no mercado brasileiro de ações em relação ao índice de mercado através da medida de dispersão transversal dos betas (beta herding) das ações no período entre janeiro de 1995 e maio de 2012. Nesta pesquisa os betas das ações em relação ao índice de mercado foram obtidos utilizando-se as séries de excessos dos retornos diários das ações sobre a taxa DI-Cetip over das ações negociadas na BM&FBovespa, utilizando-se o modelo de mercado de Fama e French (1993) de três fatores, com as séries filtradas e suavizadas por um conjunto de equações dinâmicas de espaço-estado (Filtro de Kalman). O entendimento da dinâmica desta variável ajudaria a explicar melhor o comportamento do investidor em diferentes condições de mercado e o modelo proposto nesta pesquisa parece contribuir neste sentido. Semelhante aos achados de Hwang e Salmon (2001), Amirat e Bouri (2009a) e Hachicha (2010), os resultados encontrados neste trabalho para o mercado brasileiro de ações neste período sugerem que existe um nível base ou estacionário de herding no mercado, independente das condições do mercado. Também se observou a existência de uma componente de feedback herding explicada pela ação dominante anterior ou do nível anterior de herding. Outro achado deste trabalho foi uma diferença entre o senso comum de que o nível de herding aumentaria durante as crises financeiras, verificando-se na amostra analisada fenômeno contrário: uma redução dos níveis de herding durante períodos marcados por crises financeiras.In finance, herd behavior is a commonly bias associated with an important element of investor\'s behavior in financial markets, particularly during periods of financial crises. Researches in this area try to explain theoretical motivations for this market bias and a large number of experiments try to identify the presence of and measure herding in developed and emerging markets. However, as this is a variable that cannot be directly observed, difficulties faced to measure it comprise a major challenge for researches in this area. The purpose of this study is to verify the presence of this behavioral bias and evaluate this variable dynamics in the Brazilian stock market, using model proposed by Hwang and Salmon (2001 and 2004). Herding is measured in the Brazilian stock market in relation to market index through evaluation of cross-sectional dispersion of equity betas (beta herding) in the period from January 1995 to May 2012. Equity betas, as compared to the market index, were obtained through series of daily stock excess returns over DI-Cetip rate for shares traded at BM&FBovespa, using Fama and French (1993) three-factor model, with series being filtered and smoothed by Kalman filter state-space dynamic equations. Understanding this variable dynamics would help to explain investor\'s behavior under different market situations, and the model proposed in this study seems to contribute. Similar to findings of Hwang and Salmon (2001), Amirat and Bouri (2009a) and Hachicha (2010), Brazilian stock market results found in this study suggest that there is a base or stationary herding in the market, regardless of market conditions. Existence of a feedback herding component, explained by prior dominant action or herding level was also verified. This study also denies common sense understanding that herding level increases during financial crises; in fact, opposite phenomenon was verified: a reduction in herding levels during financial crisis periods.
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Gardner, Peter Alan Banking & Finance Australian School of Business UNSW. "Investment manager trading behaviour and fund performance." Publisher:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/43109.
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This dissertation investigates three types of investment manager trading behaviour to ascertain whether behavioural biases are present in the Australian investment management industry. In particular, this thesis examines whether these biases are detrimental to fund performance and market efficiency, and whether there is a need for regulatory review given the behaviour of institutions in their trading on the Australian Securities Exchange (ASX). The three empirical issues examined in this thesis are: leader and follower patterns in institutional trading; quarter-end gaming behaviour; and short-term trading activity and the role of institutional monitoring. Firstly, in the analysis of leader-follower behaviour, this thesis finds profitable trade packages are executed using multiple brokers as a way to accumulate a larger package in a shorter window of time and as means of enhancing disguise. Profitability is higher when these trade packages are mimicked and when there are up to three mimickers, compared to situations in which no mimicking occurs. Potential mimickers do not appear to ignore their own signal when deciding whether or not to follow when the sequence is short, but may do so for longer sequences as predicted by Grenadier (1999). It is concluded that short sequences of mimicking trades by active fund managers speed the price discovery process. Secondly, in an investigation of ??portfolio pumping?? by Australian active investment managers, this thesis finds significant abnormal stock and fund returns on the final business day of the calendar quarter-end. This thesis then identifies particular trades, appearing mostly in less liquid stocks, which accompany stocks that are marked up at quarter-end (it is not possible in this thesis to prove causation given the trades in this sample are not time-stamped). Fund managers execute more purchases than normal on the last day of the quarter in stocks in which they are overweight, providing strong evidence that manager behaviour is modified on the last day of the quarter-end. This study also finds poor-performing managers are more likely to perpetrate gaming trades, which may be as a result of career concerns and business risk management. New investors in funds would benefit substantially by delaying their entry to the fund until the day after the end of the quarter, as there is a lower entry price into the fund. However, portfolio pumping does not substantially affect the returns of extant fund investors, as the trading cost associated with the relatively small gaming trades is relatively small. Attempts by the ASX to reduce price manipulation, such as instituting a closing price call auction and then later revising the algorithm of this auction, have been effective in limiting both the number of occurrences, as well as the severity of gaming on the efficiency of the market. Thirdly, in an examination of the short-term trading activity of active investment managers which threaten exit, this thesis find that a larger number of actively trading multi-blockholders significantly raises firm performance. It remains true that an individual blockholder who intervenes to raise firm performance has to share gains with other blockholders. But firm manager effort is enhanced by the threat of exit by blockholders when they receive a bad signal concerning managerial effort. This study tests seven nested hypotheses proposed by Edmans and Manso (2008) using sequences of short-term institutional trades that threaten exit. Blockholder net profit is diminishing in the number of traders, consistent with a common signal of poor managerial performance. Moreover, these trade sequences are profitable even after transaction costs. Spreads are lower and the firm??s share price becomes more sensitive to managerial performance as more blockholders threaten exit. From the three broad investigations into fund manager activity this thesis undertakes, active fund managers are shown to behave rationally and, apart from their behaviour at quarter-end, they act in the interests of their investors, aid price discovery, reduce bid-ask spreads and thereby exhibit a positive influence on market efficiency.
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Montoya, Villalta Jharold. "¿Existe herding en el sistema privado de pensiones peruano?" Master's thesis, Universidad del Pacífico, 2017. http://hdl.handle.net/11354/2143.
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El presente trabajo de investigación busca identificar herding entre las AFP en el Perú utilizando la metodología propuesta por Sias (2004). El análisis se aplica a un panel de datos comprendido por más de 900 activos en los que han invertido las AFP en el periodo enero 2014 - julio 2016 (31 meses). La información por activo incluye precio y número de cuotas (cantidades) en cada periodo de tiempo por tipo de fondo y por AFP. El análisis se centra en el número de cuotas, dado que estas son las variables de control de las AFP. El trabajo cuantifica el nivel de correlación de la demanda de un activo (variación de cuotas) entre el periodo actual y uno anterior en un corte transversal de la muestra. En adelante, se hará referencia a esta correlación como coeficiente de correlación de Sias. La correlación positiva en el corte transversal puede reflejar dos efectos: (i) la intención de una AFP por continuar comprando un activo que compró en el periodo anterior o (ii) la intensión de una AFP de comprar un activo que otra AFP ha comprado en algún periodo anterior. La metodología aplicada permite identificar ambos efectos. El segundo efecto es el que define el nivel de herding.
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White, Todd Palmer. "Analyst Herding, Shareholder Investment Horizon, and Management Earnings Guidance." Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/37618.
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This dissertation examines the characterization of transient investors by financial analysts. Transient investors have been portrayed in the literature as either 1) informed investors or 2) poor monitors. No research to date, however, has examined how financial analysts, who are important information intermediaries, characterize transient investors. A view of transient investors through the lens of a financial analyst is obtained through examining how the presence of transient owners in a firm affects financial analystsâ decision making. Specifically, this study examines how transient ownership affects both the propensity of analysts to herd when issuing earnings forecasts for a given firm as well as the incidence with which analysts revise their forecasts when the firm issues earnings guidance. Empirical tests show that financial analysts exhibit a greater propensity to herd when there are transient investors present. The proposed reason for this effect is analysts are herding due to reputational concerns. Further testing, however, does not show that the relation between transient ownership and analyst herding is owed to poor monitoring behavior of transient-owned firms. In contrast, evidence is consistent with the hypothesis that the firm information environment of transient-owned firms is an important cause of analyst herding. In summary, evidence is consistent with the informed investor portrayal of transient investors and there is no evidence indicating financial analysts view transient owners as poor monitors. Finally, when the decision of analysts to issue revised forecasts is examined, it is found that having a higher percentage of the firm owned by dedicated or long-term investors increased the propensity of analysts to issue a revised forecast. Thus, while my analysis is inconsistent with a poor monitoring portrayal of transient investors, results suggest that a dedicated investor base can enhance the perceived credibility of firm disclosures.
âPh. D.
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liu, Chen-ming, and 劉鎮銘. "Herding and Anti-Herding：A Case of Perfect Bayesian Equilibrium." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/19002902273289764439.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
92
Herding behavior is an interesting phenomenon in financial markets. We build a two-period model based on the consideration of reputation and compensation to analyze herding behavior. In our model there are two players with two prior types, including smart and dump. In the beginning of the first period, each player has private information and then players will adopt their behavior strategies to maximize their second period compensations. Our study findings include: (1) there doesn’t exist the equilibrium in which both player tell the truth; (2) no matter what the private information that the second player got, the herding behavior emerges as a perfect Bayesian equilibrium if the payoff of the only winner in the second period is not enough to compensate the loss of giving up his private information; and (3) on the contrary, if the only winner gains is high enough for the loss of information, then anti-herding prevails as a perfect Bayesian equilibrium in our model.
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Huang, Chih-Chiang, and 黃志強. "The Analysis of Analysts’Sequential Action, Herding, and Anti-herding Behavior." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/ffs3k6.
Full textAbstract:
碩士國立中興大學
高階經理人碩士在職專班
99
In this paper, we modify the settings in the reputation-oriented model in Effinger and Polborn (2001), and propose a comprehensive model for analysts’ behavior. We find that analysts would announce their forecasting first only when the risk is limited in a certain range and the market offers substantially higher wage to the sole winner. Under the assumption in reputation-oriented model, the most important factor determining analysts’ strategies is the future wage that market offers to the sole winner, regardless of market’s belief on analysts’ behavior. The wage that market offers to the sole winner is positively related to the analyst’s anti-herding propensity, and negatively related to the analyst’s herding propensity, no matter whether the information the analysts observed is identical or not. Moreover, we find that when the market expects analysts might not report truthfully, the follower analyst is more likely to report deceptively.
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Lin, Po-Ju, and 林伯儒. "Reexamination of Institutional Herding." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/7eeq8d.
Full textAbstract:
碩士國立中興大學
財務金融系所
101
This paper examines the herding behavior on Sias measurement. We analyze the herding behavior of institutional investors in top three exchanges for all NYSE, AMEX, and NASDAQ stocks. Institutional ownership data are quarterly from March 1999 through September 2012. The cross-sectional correlation can be directly decomposed into the portion that result from following their own trades and the portion that result from following other institutional investor''s trades. Second, we examines the relationship between momentum strategy and herding behavior of institutional investors. Third, we examine how the institutional demand affect the future return of securities. Finally, we analyze the relationship between herding behavior and sentiment indicators. The empirical result are as follow：the results reveal that institutional investors follow themselves and each other into and out of the same securities over the period of time (herd). Restricting the sample to securities with at least one institutional traders, yields the ratio of cross-sectional correlation from following their own trades are greater than the ratio from following other institutional investor''s trades. The larger and smaller portion of institutional demand are the major part to affect the herding behavior of institutional investors. We add lag return as a standardized independent variable. The results reveal that institutional momentum trading may result from institutional herding. And institutions'' demand is much more strongly related to their own lag demand than lag returns. No matter what measurement we use, OLS or quantile regression, we find prior-quarter institutional demand is negatively correlated with returns. Finally, we further explore the association between herding behavior and sentiment indicators. The results reveal that ICS and UMCSENT are positively correlated with "following their own" accounted for the proportion of regression coefficient (statistically significant). That is, when increasing in consumer confidence index, institutional investors will tend to follow their own past trading strategy for investment； While these two indicators are negatively correlated with "following other institution" accounted for the proportion of regression coefficient.
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Koch, Andrew Wallace. "On mutual fund herding." Thesis, 2011. http://hdl.handle.net/2152/ETD-UT-2011-08-3774.
Full textAbstract:
This study examines several issues related to mutual fund
herd behavior. First, a unifying and consistent framework for
measuring herd behavior is developed. This framework generates
portfolio-level measures for each fund manager over each quarter,
and relates herd behavior to other aspects of portfolio dynamics.
Simulations indicate significant and persistent non-random herd
behavior. Second, mechanisms that potentially underly herd behavior
are tested. Empirical results indicate that herding funds tend to i)
change their holdings towards levels similar to peers, ii) have less
experienced managers, and iii) underperform their peers. These
results are consistent with a career concerns theory of herding.
Third, the impact of mutual fund herding on stock liquidity is
examined. Empirical results indicate that herd behavior can lead to
correlation in stock-level liquidity.text
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Ko, Ching-Chun, and 柯靜君. "Institutional Investors'' Herding Behavior." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/66506292320259949024.
Full text
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Chang, Yung-Ming, and 張永銘. "Mutual Fund Herding Behaviors." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/86954379659130648630.
Full textAbstract:
碩士大葉大學
國際企業管理學系碩士班
97
Using monthly trading data from 06/1993 to 06/2002, this paper examines the herding behavior of mutual funds in the Taiwan stock market. We adopt the approach of Sias (2004) to investigating the existence of fund’s herding behavior, and explore the relationship between fund herding, the performance of the market index and different stock characteristics. First, the results show that fund herding exists. Second, although mutual funds are momentum traders, the fund herding are not driven by past returns. Third, there are pronounced herding behavior among funds which trade glamour and hi-tech stocks. Finally, institutional investors could trade by using the same index or preference.
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Aghamolla, Cyrus. "Essay on Analyst Herding." Thesis, 2016. https://doi.org/10.7916/D8862GJ9.
Full textAbstract:
This study investigates a dynamic model of analyst forecasting where the ordering of forecasts and analysts' information endowments are endogenously determined. Analysts are probabilistically informed, potentially biased, and can increase their informedness through information acquisition. I characterize the unique equilibrium which holds for general distributions. The results show that analysts with less bias, greater precision, or a greater likelihood of being informed forecast earlier. Moreover, the main results show (perhaps surprisingly) that analysts always choose to be imperfectly informed, even though information acquisition is costless. This arises from the incentive to induce more timely forecasting by the other analyst. Likewise, analysts choose a positive bias level in equilibrium in order to gain a strategic advantage in their forecast timing. I discuss a number of empirical implications and extend the model to allow analysts to learn over time.
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蔡宗穎. "Herding in bond market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/65910742347068545008.
Full textAbstract:
碩士國立政治大學
國際經營與貿易研究所
98
The objective of this study is to examine the bond market, the phenomenon of herd behavior, and to further explore the possible reasons for the phenomenon of conformity. First, try to combine competitive advantage of Keynes’s concept of beauty contests and the real bond price which satisfies martingale process Bond market in general there are two kinds of traders, one has both public information and private information, the other has only public information. Under conditions of asymmetric information, two kinds of traders’ trading strategies are the use of rational expectations under conditions to estimate the bond’s market price. However, we can find that there are some factors which affect the bond’s market price. Like bond’s true value, public information and supply shock. Finally, the model is found by the study will not lead to herd behavior bond market the most important factor is the interest rate behavior equation owned by traders. We select the exogenous variables which to compare their weight in order to determine the conditions of herd behavior.
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Hong, Yong-Zhang, and 洪永章. "Herding Behavior in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/78529948916734060809.
Full textAbstract:
碩士國立交通大學
財務金融研究所
103
We study the herding behavior in Taiwan. This study uses the herding measure introduced by Lakonishok et al.(1992) and modified by Zhou and Lai (2009),and investigate the herding behavior in Taiwan during the period from 2011 to 2012.The study finds evidence of herding by both investors but stronger herding tendency among institutional than individual investors and also find all investors herd more on firms with large capitalizations. All of individual investors’ buy-herding,domestic mutual fund investors’ sell-herding and other institutional investors’ buy-herding and sell-herding are increasing in volatile period. To further explore the dynamic relation between herding and returns,the study observe the returns of a zero-investment portfolio.The performance of institutional investors are better than individual investors. For foreign investors and domestic mutual-fund investors, the finding shows positive returns in each size group.However,individual investors only earn positive returns in large size and other institutional investors just earn positive returns in median size.Both of foreign investors and domestic mutual-fund investors earn positive returns in small size stocks with high uncertainty during period of market stress. The other institutional investors earn positive returns in median size.Finally,individual investors have not any significant positive returns. According to the above results,I suggest that herding by foreign investors and domestic mutual-fund should be information-driven.In contrast,the herding behavior of individual investors and the other institutional investors may driven by behavioral factors.
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Pinto, André Santos. "Herding through the tails?" Master's thesis, 2012. http://hdl.handle.net/10400.14/10113.
Full textAbstract:
This paper investigates institutional herding for extreme event-days in the US stock market
between 2000 and 2010. We show that, for more extreme return’ stocks, abnormal returns and
abnormal turnover are strongly linked to institutional ownership. Six month post-event
performance show evidence of overreaction and underreaction by institutions on the event-days,
consistent to findings related to informational cascades and the uncertain information hypothesis.
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Ukpong, Idibekeabasi. "Determinants of industry herding." Thesis, 2019. https://arro.anglia.ac.uk/id/eprint/705288/1/Ukpong_2019.pdf.
Full textAbstract:
This thesis provides empirical evidence on the determinants of herding in US and China using both market and industry level data. Herding is examined based on market returns, volatility, trading volume and different market conditions, using the CSAD measure on daily data from 1990 to 2016.
The findings for the US market demonstrate that herding does not exist. However, some herding becomes visible at the industry level. The results also demonstrate that there is limited evidence of herding during rising and declining markets days, which is more significant on days with low trading volatility and low trading volume. For different market conditions, the finding shows that herding is present at the market and industry level during the Dot com bubble and the Global Financial Crisis. The results for the Chinese markets provide evidence of herding at both the market and industry level, although it is more prevalent in Shenzhen stock exchange. Evidence further demonstrates that industry herding is more prevalent in the Shenzhen stock exchange when the market is declining, the trading volume is high, and volatility is low. After examining herding during the Asian crisis and Global financial crisis, the results demonstrate herding occurs during both crises at the market and industry level. Finally, the findings demonstrate that at the market level, US returns only has an impact on herding in Shanghai stock exchange.
The results have implications for financial market investors and stock market regulatory authorities in both markets. For the US, it is important that investors know the impact of industry herding on specific industries, while regulatory authorities should encourage investors to diversify their sector investments. For the Chinese markets, the findings imply that participants in the Chinese stock markets (sectors) are irrational when they make investment decisions. Therefore, regulatory authorities should consider irrationality in their rule-making processes and market reforms.
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Cheng, Nai-Wei, and 鄭乃維. "Dynamic Relations among Herding, Anti-Herding and Log-Periodic Price Pattern before Crash." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/8me6yv.
Full textAbstract:
碩士國立中山大學
財務管理學系研究所
104
This paper applies Log-Periodic Power Law (LPPL) model to Taiwan stock market to predict the regime-switching time of the 2008 bubble and crash. Moreover, this paper is dedicated to explaining the log-periodic price pattern with investor herding behaviors and granting the model a more intuitive financial interpretation. In contrast to the original methodology proposed by Johansen, Ledoit, and Sornette (2000), rather than the estimated range of critical time, we focused on the log-periodic price pattern (specifically, the log-periodic oscillation parameter), a crucial phenomenon before the crash as a prophetic sign for the crisis. Furthermore, to decipher the impact of herding on crash, we use a conditional probabilistic herding measure for the concept of deviation from market consensus, S-statistic, to distinguish anti-herding from herding by investor types. Finally, we construct a two-regime Threshold VAR model to examine the dynamic relations among herding, anti-herding and log-periodic price pattern. To our surprise, the study finds that anti-herding behaviors of institutional investors strengthen the log-periodic oscillations while the effect is opposite for individual investors anti-herding behaviors. Institutional herding weakens the log-periodic pattern. This result may be counterintuitive, however, this result indicates that herding and anti-herding can truly reflect the complex mechanism of financial market before the crash and thus these behavioral factors are qualified as predictive indicators for financial crisis.
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Yeh, Chih-cheng, and 葉智丞. "Investor Psychological and Behavioral Bias:The Relationship among Sentiment, Herding, Non-herding and Momentum." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/66926557373099531374.
Full textAbstract:
博士雲林科技大學
管理研究所博士班
99
This paper aims to discuss and understand the relationship between investor psychology and behavioral biases to reduce emotions and mental errors. The article is divided into two sections. Previous literature pays more attention on price momentum instead on sentiment momentum. In this study, we examined Taiwan stock market to reinvestigate price momentum, sentiment momentum, and the relationship between the price and sentiment momentums are examined. It is found that not only the price momentum but also the sentiment momentum exist in Taiwan stock market. Market returns, sentiment momentum, and price momentum form a complete round that repeats. We also find that the short-middle-term price momentum has connection with low-sentiment losers, and, the middle-term price reversal is related to high sentiment losers. In most cases, the strategy of buying high sentiment losers and selling low sentiment winners as well as the strategy of buying sentiment momentum and selling price momentum are observed to generate stable positive returns. This result is helpful for investors in making their long term investment plans. Furthermore, previous literature used to pay more attention on investor sentiment or herding, while the paper focuses on the issue of the relationship among investor sentiment, herding and non-herding. The study also examines the impact of their interaction on stock market. It is found that investor sentiment affects herding, and herding and non-herding influence each other. Investor sentiment of bull market and non-herding of bear market have a positive relationship with market returns. Investor sentiment of bear market and non-herding of bull market have negative impact on market returns. Herding of bear market has negative influence on market returns only. Herding strengthens the market volatility, while non-herding weakens it. In addition, eight types of effects on the stock market resulted from the interaction among investor sentiment, herding and non-herding are corresponding respectively to eight psychological states of investor: suspicion, hope, optimism, euphoria, overconfidence, ambivalence, pessimism and fear. The study findings indicate that every psychological state has a significant influence on market returns.
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Chen, Yen-Sing, and 陳彥興. "Mutal Fund Herding in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/65567150608354441737.
Full textAbstract:
碩士大葉大學
企業管理學系碩士班
98
This paper investigates how mutual fund managers in Taiwan trade in the securities market in Taiwan. The evidence shows that mutual fund managers herd in Taiwan secu-rities market. As we divide the full sample into five sub-groups based on the objectives of the mutual funds, herding behavior exists in the general as well as China-Concept mutual funds. Mutual fund managers of High-tech buy the losers, demonstrating be-havior of contrians. We further test the herding behavior of mutual fund managers in two business cy-cles. Each business cycle include bull market and bear market. The evidence shows that in the pre- financial crisis period, mutual fund managers trade as the contrarian traders do. On the contrary, mutual fund managers trade as the momentum traders during the period of financial crisis. Furthermore, we find that five sub-groups mutual fund man-agers have their own stategy to trade.
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Shih-Hwa, Lin, and 林世華. "Security Dealers Herding in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/93055892300194304645.
Full textAbstract:
碩士大葉大學
企業管理學系碩士班
98
This paper investigates how securities dealers trade in Taiwan Securities Market. We find that the securities dealers herd in Taiwan securities markets when choosing the securities to hold. The past returns of stocks explain why securities dealers herd. Securi-ties dealers respond differently as the financial crisis occurs. During the financial crisis period, the securities dealers demonstrate positive herding behavior. However, during the post-crisis period, the dealers show negative herding behavior. Furthermore, secu-rities dealers are momentum traders during the financial crisis period and contrarian traders after the crisis. We also examine whether dealers follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional in-dustry herding.
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Chuang, Ching-Hsiang, and 莊晉祥. "Decision behavior under herding effect." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/23659703306698619020.
Full textAbstract:
碩士淡江大學
管理科學研究所碩士班
94
The thesis discussed decision maker’s behavior under herding of incomplete information. We consider two-stage signaling games to analyze the differences of decisions between the one signaling game and two signaling game. Two signals include both cost signaling and costless signaling, the former is signaling with cost and the latter is the cheap talk. The cheap talk comes from public who just talk straight about their perceptions, impressions and experiences. The quantities and the perception dimensions of that kind of information will affect receivers’ payoff and also the decision behaviors. An exogenous price is also considered that affects equilibriums existence. For the same price, decision behavior may act differently in the case one signaling game and that two signaling game. The result shows that : in the incomplete information, the quantities and the perception dimensions of public information will obviously affect decision behavior and receivers will accept senders even at higher price. This leads senders to expand herding effect to acquire more profit.
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Cruz, João Luís Saleiro da. "Herding em Fundos de Investimento." Master's thesis, 2017. http://hdl.handle.net/1822/49713.
Full textAbstract:
Dissertação de mestrado em FinançasO comportamento herding assume uma importância cada vez maior dado o seu impacto nos mercados financeiros, nomeadamente na capacidade que tem de explicar a variabilidade das rendibilidades. Este comportamento pode ser definido como a tendência dos investidores para seguirem as decisões de outros investidores, ignorando as suas opiniões. O objetivo desta dissertação consiste em analisar o comportamento de herding no mercado Americano de fundos de investimento entre o período de 2005 e 2015. São também objetivos de estudo analisar os diferentes níveis de herding em fundos de investimento com diferentes características e em diferentes ciclos económicos. Para este estudo, a base de dados que foi utilizada foi a CRSP (Center for Research in Security Prices), e a metodologia utilizada na investigação para testar a evidência de herding centra-se no método proposto por Lakonishok, Shleifer e Vishny (1992). Os resultados obtidos indicam a presença de herding nos fundos de investimento norte-americano, exibindo um maior valor no lado de venda. Os resultados sugerem ainda um nível de herding superior em carteiras com maior valor de mercado e em ações de menor dimensão. Relativamente à divisão dos fundos pelas suas características de acordo com Lipper Classification, os resultados indicam que o nível de herding é superior nos fundos Small-Cap Growth Funds, Small-Cap Core Funds e Financial Services Funds e, inferior nos Science & Technology Funds e Health/Biotechnology Funds. Por fim, os resultados obtidos através da análise do nível de herding nos ciclos económicos indicam que os níveis de herding são superiores em períodos de expansão e, inferiores em períodos de recessão. Neste estudo também foram realizados testes estatísticos de diferencia de médias onde a média da medida de herding de um determinado grupo é comparada com a média da amostra exceto esse grupo. Estes testes foram realizados para testar se os resultados são sólidos e se apresentam significância estatística.
Herding behavior assumes increasing importance given its impact on financial markets and its ability to explain the variability of returns. This behaviour can be defined as the tendency of investors to follow the decisions of other investors, ignoring their own opinions. The objective of this dissertation is to analyse herding behaviour in the US market of mutual funds in the period from 2005 to 2015. This dissertation also analyses differences in herding magnitude across stock characteristics and economic cycles. The data was collected from CRSP (Center for Research in Security Prices), and the methodology follows the method proposed by Lakonishok, Shleifer and Vishny (1992). The results indicate the presence of herding in US mutual funds, showing a higher value on the selling side. The results also suggest a higher level of herding in portfolios with higher market value and in smaller stocks. The results of funds by their characteristics according to Lipper Classification indicate that the level of herding is higher in the Small- Cap Growth Funds, Small-Cap Core Funds and Financial Services Funds, and lower in the Science & Technology Funds and Health / Biotechnology Funds. Finally, the analysis of the level of herding across economic cycles indicate that the levels of herding are higher in periods of expansion than in periods of recession. In this study, we also performed statistical tests of mean difference where the mean of the herding measure of a given group is compared with the mean of the sample except this group. These tests were performed to test whether the results are robust and statistically significant.
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HSU, CHIH-MING, and 徐芝敏. "Target Price and Herding behavior." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/21864213109819366363.
Full textAbstract:
碩士國立中正大學
財務金融系研究所
104
The purpose of this paper is to find out whether the analysts have herding behavior when they are forecasting the target prices. We also discuss whether the investors who get the report will have herding behavior when they are investing. There are three main results. First, most of the target prices have optimistic bias. The accuracy of negative recommendation target price is better than the positive recommendation target price. Second, when analysts forecast stock optimistically, they will move away from the consensus forecast as they become more confident. But if analysts have forecast error in the current quarter, they will herd from others. Third, the investors in Taiwan are influenced by the target price bias when they are making investment decisions.
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Chu, Ya-wei, and 朱雅薇. "Institutional Herding: Assessment of Methodology." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/27031790000208762352.
Full textAbstract:
碩士國立中央大學
財務金融學系
101
This articleexamines the herding behaviors of institutional investors using Sias (2004) approach. Moreover, I find that Sias (2004) may ignore the impact of company events on the herding measures and I bring up a more appropriate method to solve this problem. In this article, I use my method as well as Sias’ method to see if the herding results will be the same using the quarterly data during the 1983-1997 period and 1998-2010 period. The findings indicate that institutional herding exists in both methods. However, to test whether institutional investors’ trades are related to information or not, I examine the return reversals. Evidence shows that Sias’ method is affected by the company events and mine is not, showing that my method would be a better measure of institutional herding. I also investigate the possible reason of institutional herding by examining the existence of characteristic herding, following the methodology of Bennett, Sias, and Starks (2003). By testing the preference of firm characteristics of institutional investors, I further prove that institutional herding result from something other than information.
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Chien, Hsu-min, and 簡旭敏. "The Study of the Disposition Effect vis-à-vis Herding and Non-herding Fund Investors." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/20845675822177793371.
Full textAbstract:
碩士義守大學
財務金融學系碩士班
95
We study the disposition effect vis-à-vis herding and non-herding fund investors. To our knowledge, this is the first case to combine herding behavior and disposition effect, and use quantile regression to estimate the herding and non-herding investors have the disposition effect or not on different level of fund performance. We find two type of disposition effect: the first, at the normal redemption times, fund investors prefer to sell the best fund; and hold the bad and worse funds, therefore, investors with the disposition effect--hold losers too long, and this effect is often investigated in past research. Second, at the hot redemption times, investors prefer to sell the best funds and averseness to redeem the bad funds, therefore, investors with the disposition effect--hold loser longer, and this effect is only investigated in fewer research; in addition, investors will redeem the worse fund. To sum up, we find that the impact patterns vis-à-vis herding and non-herding fund investors are different, and the investing behaviors are different when they face different level of fund performance.
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Mekwa, Itumeleng Eskia. "Sectorial Herding: Evidence from the JSE." Thesis, 2017. https://hdl.handle.net/10539/26265.
Full textAbstract:
A research project submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment at Wits Business School, University of the WitwatersrandThis study investigates the existence of herd behaviour within the Johannesburg Stock Exchange (JSE) and three sectorial indices using monthly closing prices for all shares listed on the JSE for the period 31 January 2003 to 31 May 2016. No evidence of herding was found on either the JSE or in any of its sectors during the sample period. Furthermore, no evidence of herding was found during bull and bear markets within the sample period.
GR2019
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Tzeng, Li, and 曾笠. "The Herding Behavior in Futures Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/25kkg3.
Full textAbstract:
碩士國立高雄第一科技大學
財務管理所
96
The impact on asset’s price of human behavior receives lots of attention. In making investment decisions, the consideration of mental factors is significant. One of these important mental factors considered in this study is “Herding behavior”. The aim of this study is to examine the motivation behind herding behavior exhibited by future floor traders. The data we use is intraday and from the records of Taiwan Futures Exchange (TFE). The finding of our empirical analysis shows that floor traders exhibit herding behavior in daily trading period, however, such behavior disappears in period at AM11:30 to PM12:30 section. Further, The floor traders of negative performance show the opposite direction trading behavior, exhibit the different buying(selling) trade.
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Huang, Chen, and 黃塵. "Herding Behavior in the Wine Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/4kbtc3.
Full textAbstract:
碩士國立中興大學
應用經濟學系所
101
The purpose of this study is to examine herding behavior in the wine market, in order to see, how it affects that market. Monthly data for four different price indices was obtained from LIV-EX and for nine different price indices was obtained from WinePrices.com. The data period covers January, 2005 to January, 2010. We used Cross-Sectional Absolute Deviation (CSAD) and Cross-Sectional Standard Deviation (CSSD) models to examine herding behavior in the wine market.For a comparative purpose, the markets were devided into large, medium, and small size markets. The empirical results show what each sized wine market exhibits a significant herding behavior. Based on the empirical results, we conclude that: (1) Wine can make better the investment’s diversifications and selections, as it encourages up trends and defends against down trends. (2) We have found the herding behavior in the wine markets, just as it is found the same in the finance, and real estate markets. This explains Why London, New York, and Hong Kong are both the trading centers of global finance and the wine market. (3) Finally, herding behavior is different in the wine markets of United States, Italy, Australia, Portugal, and French.
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Chen, Chien-Chih, and 陳建志. "Taiwanese of individual investors herding behavior." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/81672907159316280378.
Full textAbstract:
碩士輔仁大學
管理學研究所
93
The analyses of herding evidenced in literature were conducted in annually, quarterly, at best, monthly basis. None of them were daily based. It is improper to argue a herd when trades taking places with lag of a couple of months. In this study we obtained a dataset provided by a renowned brokerage house covering daily trading records of individual investors in January 1998 through September 2001, which allows us to investigate individual herding on a daily basis and connect herding to individual characteristics and stock attributes. Our empirical results are summarized as follows. First of all, individual investors do demonstrate herding while to a lower degree than previous literatures. Herding on the buy side is higher than that on the sell side. Secondly, we discover that male and on-line investors have a lower tendency to trade on herds than female and traditional investors, respectively. This phenomenon is reconciled with the overconfidence argument that overconfident investors are less likely to follow the herds. Furthermore, in the connection of herding with stock attributes, we find that individual investors prefer to buy herd and sell herd on stocks with strong past return. They also pay attention on large and growth stocks and have a higher herding measure on these stocks. We elucidate the finding with the representative heuristic argument, attention-grabbing effect, and disposition effect. Finally, the subsequent returns of herding indicate that individual herding is suboptimal.
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Gau, Anbang, and 高安邦. "Herding Behavior in Taiwan Futures Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/93519295835192571055.
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碩士國立暨南國際大學
國際企業學系
99
This thesis aims to investigate herding behavior by type of traders in the Taiwan Futures Exchange (TAIFEX). By applying the method proposed by Lakonishok, Shleifer and Vishny (1992) (the LSV model) and Wermers (1999), we measure the degree of herding among foreign institutional traders, domestic institutional traders, futures proprietary firms and individual traders, based on the unique trading data of each account. We find that there is a significantly negative correlation between the basis and the degree of herding in institutional traders. However, the degree of herding in individual traders is positively related to the basis. This study also reveals that the degree of herding increases with probability of informed trading (PIN) in the TAIFEX.
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Wu, Ching-hsin, and 吳靜欣. "Mutual Fund Flows and Herding Behavior." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/41128638037935352539.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
97
The main purpose of this study is to exam the relationship between mutual fund flows and stock market herd behavior. First of all, we use the CSSD herding measure developed by Christie and Huang (1995) and Chang, CSAD herding measure develop by Cheng and Khorana (2000); then use Warther (1995), Remolona, Kleiman and Gruenstein (1997 ) and Edwards and Zhang (1998) and other scholars of the argument, the definition of a net flow of funds to purchase the amount of funds - the amount of fund redemption. And consider the fund flow may change over time of a rising trend, the net flow rate of the Fund as the definition of fund flows. Finally VAR model to view the funds flow and the relationship between herd behavior. Empirical results show that in the entire period of this study, the herd by themselves indicators of a positive pre-impact fund flows are also subject to their own pre-pre-1 and 2 of the positive effects, the two variables are affected only by their mutual does not affect the other. Short period in the stock market, fund flows, the stock market is also becoming apparent conformity. Long period in the stock market, fund flows do not significantly affect the stock market to increase herd; but the shorter the period of long form, funds flow and the relationship between herd significantly.
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Li, De-Jia, and 李得嘉. "Research on Security Analysts’ Herding Behavior." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/22667169415974322555.
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碩士元智大學
會計學系
97
This research investigates analysts’ herding behavior. We adopt Rhodes-Kropf, Robinason, and Viswanathan’s (2005) model to measure firms’ mispricing and we explore whether the capital market’s mispricing toward firms has effects on analysts’ herding. Namely, this research examines the relation among forecast boldness, forecast accuracy and mispricing. We also examine whether analysts issue bold forecasts lead to higher abnormal return than analysts herding. Our sample consists of American companies from 1993 through 2006. The financial data are from Compustat, CRSP and I/B/E/S. The sample yields 702,057 analyst–firm–year observations. We find that when a firm is highly mispriced (firm-specific error), analysts tend to herd. If a firm’s true value highly deviates from the industry (sector error), analysts have the tendency to issue bold forecasts. Analysts are likely to be bold when total error is high. When analysts’ prior year forecasts accuracy is high, they tend to issue bold forecasts. Referring to our interaction item, we find that analysts tend to herd when their prior year forecasts are accurate jointly with the situation that a firm is less mispriced. When a firm’s true value highly deviates from the entire industry jointly with the situation that analysts’ prior year forecasts are accurate, analysts are likely to issue bold forecasts. Analysts have the tendency to herd when total error is high jointly with the situation that analysts’ forecast accuracy is high. We also find that analysts issue bold forecasts leads to higher abnormal return than analysts issue consensus forecasts.
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陳宜棻. "Herding Behavior in Online Product Choices." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/61670362997801472002.
Full textAbstract:
博士國立交通大學
管理科學系所
93
Previous research has shown that people are influenced by others when making decisions. While people use others’ product evaluations as an indicator of product quality on the Internet, the online herding behavior occurs. This work presents five studies examining herding behavior of online book purchasing. The first three studies addressed how three cues frequently found on the Internet, i.e., sales volume, star number of average customer review, and customer reviews, influence consumer online product choices. The last two studies examined the relative effectiveness of different recommendation sources. The experimental results revealed that subjects used the choices and evaluations of others as cues for making their own choices. However, herding effects were offset significantly by negative comments from others. Additionally, “the recommendations of other consumers” influenced the choices of subjects more effectively than “recommendations from an expert.” Finally, “recommendations from recommender system” also influenced subject choices more effectively than “recommendations from website owner”. The results of this research have implications for marketers. Online marketers may use cues to induce purchase intentions and pay attention to negative customer reviews. They should also exploit the power of crowds and use recommender system to promote online sales.
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Chou, Shin Ju, and 周時如. "Herding Behavior of Corporate Financing Decisions." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/66678040430812456267.
Full textAbstract:
碩士世新大學
財務金融學系
92
Abstract This study examines the herding behavior of corporate financing decisions. Most studies discussing the business’s capital structure usually employ the traditional financial theory, which use static trade off theory and pecking order theory to explain the company’s capital structure. However, financing decision-makers generally have herding or similar behaviors, that has not been carefully examined till now. Therefore this study uses the herding behavior theory in behavioral finance to investigate the company’s various financing decisions. The Panel Data Model and Quantile Regression Model are applied to analyze Taiwan businesses’ financing behavior from 1991 to 2002. Furthermore, both debt financing and equity financing are used to analyze that whether the companies’ financing behavior are herding or not. The empirical results regarding to debt financing decisions illustrate that the companies have the following-the-leader’s debt financing behavior and also have herding financing behavior. The empirical findings with respect to equity financing decisions indicate that the companies have the following-the-leader’s equity financing decisions and also have herding financing behavior. Moreover, the quantile regression model is employed to examine that whether the different companies with different quantiles of financing level have different financing patterns. In debt financing part, a company with a higher debt financing level is more inclined to follow the leader company than that of lower debt financing level. In equity financing part, companies generally have herding behavior based on the majority companies’ equity financing levels.
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Yu, Chen Ben, and 陳炳宇. "Reputation, Information Ambiguity, and Herding Behavior." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/76377022375395052481.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
90
The issue of the relationships between information ambiguity and herding behavior is overlooked and doesn''t has been analyzed and verified in the related herding literature. For exam this intriguing issue, we mold the concept of information ambiguity into the model based on the consideration on reputation and compensation. We find, no matter how the private information is different among the decision-makers, there exists a perfect Bayesian herding equilibrium when the compensation offer to the only one success is not high enough. However, the herding behavior is more possible when decision-makers all observed same information. Under the situation where decision-makers all observed same information, we find that more precise the information, more possible the behavior of reputational herding. But contrary to this argument, we find that when the private information observed by the decision-makers are different, the degree of information ambiguity does not affect decision-makers’ decisions, in another word, the behavior of reputational herding is not influenced by information ambiguity
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Huang, Hsieh-Chun, and 黃謝鈞. "Industry Herding in Taiwan Stock Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/46101727655927591938.
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碩士國立交通大學
財務金融研究所
103
This paper examines whether investors in Taiwan stock market follow each other into and out of the same industry. The study tracks the buy herding and the sell herding industry portfolios’ performance, and investigates whether industry herding behavior of a particular type of investors can be triggered by the trading of other type of investors. The empirical results show that the herding in Taiwan stock market has an industry component. The cross-sectional correlation of the industry demand between quarters averages 48.74% in the sample period. However, the study finds no evidence that market stress affects investors’ industry herding. Third, in Taiwan stock market, industry herding is not always the process that industry information is impounded into prices. Sometimes it could be behavior-driven. Last, in Taiwan stock market, the industry herding of one type of investors’ can be triggered by other types of investors. In particular, there is a significant negative relationship between retail investors’ industry herding and institutional investors’ trades.