Estimating a Structural Model of Herd Behavior in Financial Markets
提出一种利用交易数据估计信息性羊群行为的新方法，并以1995年纽交所一只股票为例，发现羊群行为频繁发生且导致市场信息效率损失约达资产预期价值的4%。
We develop a new methodology to estimate herd behavior in financial markets. We build a 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.) during 1995. Herding occurs often and is particularly pervasive on some days. On average, the proportion of herd buyers is 2 percent; that of herd sellers is 4 percent. Herding also causes important informational inefficiencies in the market, amounting, on average, to 4 percent of the asset's expected value.