Does Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Prices
研究发现短期机构的羊群行为促进价格发现，而长期机构的羊群行为使股价偏离基本面；长期机构持续羊群是导致市场不稳定的主因。
Abstract This study finds that, over short horizons, herding by short‐term institutions promotes price discovery. In contrast, herding by long‐term institutions drives stock prices away from fundamentals over the same periods. Furthermore, while the positive predictability of short‐term institutional herding for stock prices is more pronounced for small stocks and stocks with high growth opportunities, the negative association between long‐term institutional herding and stock prices is stronger for stocks whose valuations are highly uncertain and subjective. Finally, we show that the destabilizing effect of institutional herding persistence documented in the recent literature is entirely driven by persistent herding by long‐term institutions.