Does Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Prices

Persistent Link:
http://hdl.handle.net/10150/232474
Title:
Does Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Prices
Author:
Yuksel, Hasan Zafer
Issue Date:
2012
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
Existing studies document that institutional herding has a stabilizing effect on stock prices, as stock returns are positively correlated with herding over one- to three-quarter horizons. The literature also shows that short-term institutions are better informed than long-term institutions. Motivated by heterogeneity in the level of informed trading between short-term and long-term institutions, this study disentangles the herding effect of short-term and long-term institutions on stock prices. Our results show that herding by short-term institutions promotes price discovery. In contrast, herding by long-term institutions drives stock prices away from fundamentals. Taken together, our findings suggest that the stabilizing effect documented in the existing literature is mainly driven by short-term institutions, and herding by long-term institutions has a destabilizing effect on stock prices.
Type:
text; Electronic Dissertation
Keywords:
Management; institutional herding; price impact
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Management
Degree Grantor:
University of Arizona
Advisor:
Jiang, George J.

Full metadata record

DC FieldValue Language
dc.language.isoenen_US
dc.titleDoes Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Pricesen_US
dc.creatorYuksel, Hasan Zaferen_US
dc.contributor.authorYuksel, Hasan Zaferen_US
dc.date.issued2012-
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractExisting studies document that institutional herding has a stabilizing effect on stock prices, as stock returns are positively correlated with herding over one- to three-quarter horizons. The literature also shows that short-term institutions are better informed than long-term institutions. Motivated by heterogeneity in the level of informed trading between short-term and long-term institutions, this study disentangles the herding effect of short-term and long-term institutions on stock prices. Our results show that herding by short-term institutions promotes price discovery. In contrast, herding by long-term institutions drives stock prices away from fundamentals. Taken together, our findings suggest that the stabilizing effect documented in the existing literature is mainly driven by short-term institutions, and herding by long-term institutions has a destabilizing effect on stock prices.en_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
dc.subjectManagementen_US
dc.subjectinstitutional herdingen_US
dc.subjectprice impacten_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineManagementen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorJiang, George J.en_US
dc.contributor.committeememberLamoureux, Christopheren_US
dc.contributor.committeememberLitov, Lubomiren_US
dc.contributor.committeememberKelley, Ericen_US
dc.contributor.committeememberJiang, George J.en_US
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