Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets
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 Inc.)... READ MORE...

Publication date: December 2010
ISBN 9781455211692
$18.00

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