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- W2162404865 abstract "Herd behavior and informationally efficient security priceshave long been considered to be mutually exclusive but for exceptional cases. In this paper we describe conditions on the underlying information structure that are necessary and sufficient for informational herding. We thus provide a new perspective on herding in financial markets with efficient prices. Employing a standard sequential security trading model ` la Glosten and Milgrom (1985), we argue that people may be subject to herding if there is enough noise and if, loosely, their information leads them to believe that extreme outcomes are more likely than moderate ones. We then show that herding has a significant effect on prices; e.g. price paths are biased in the direction of the herd, price movements become more pronounced, and learning may be slowed down. Our analysis suggests that herding may be more pervasive than was originally thought because our conditions for herding are both very general and intuitive." @default.
- W2162404865 created "2016-06-24" @default.
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- W2162404865 date "2006-07-03" @default.
- W2162404865 modified "2023-09-23" @default.
- W2162404865 title "Herd Behavior in Efficient Financial Markets" @default.
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