The price impact of same- and opposing-direction herding by institutions with different investment horizons
Date
2021-05
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Finance Research Letters
Print ISSN
1544-6123
Electronic ISSN
Publisher
Academic Press
Volume
40
Issue
Pages
101692-1 - 101692-7
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
Abstract
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.