Международный институт экономики и финансов

Совместный научный семинар МИЭФ и ЛФЭ, Mark Trede (University of Munster)

В четверг, 26 мая в 16.40 в ауд. 3211 (ул. Шаболовка, 26) пройдет научный семинар МИЭФ и ЛФЭ. 
Докладчик: Mark Trede (University of Munster)
Тема доклада: "The Case for Herding is Stronger than You Think" совместно с Martin T. Bohl and Nicole Branger

Тезисы доклада: In this paper, we challenge the often implemented herding measure by Chang, Cheng, and Khorana (2000). They regress the cross-sectional absolute deviation of returns on the absolute and squared excess market return. A coeffcient on the squared excess market return significantly smaller than zero is interpreted as evidence for herding. However, we show that the true coeffcient is positive under the null hypothesis of no herding. Hence, their test is biased against finding evidence in favour of herding. An empirical examination for the S&P 500 confirms the misleading implications of Chang, Cheng and Khorana's measure, while our modified test provides clear-cut evidence for herding behaviour.

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