Multidimensional Uncertainty and Herd Behavior in Financial Markets
研究当交易者跟随过去交易趋势时，资产价格与羊群行为的关系。单维不确定性下价格调整阻止羊群行为；二维不确定性下羊群出现但价格不受扭曲；三维不确定性下羊群导致短期显著错误定价。
The authors study the relationship between asset prices and herd behavior, which occurs when traders follow the trend in past trades. When traders have private information on only a single dimension of uncertainty (the effect of a shock to the asset value), price adjustments prevent herd behavior. Herding arises when there are two dimensions of uncertainty (the existence and effect of a shock), but it need not distort prices because the market discounts the informativeness of trades during herding. With a third dimension of uncertainty (the quality of traders' information), herd behavior can lead to a significant, short-run mispricing. Copyright 1998 by American Economic Association.