Herding through the tails?

Abstract

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.

Date of Award	17 Sept 2012
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	José Faias (Supervisor)