What drives the herding behavior of individual investors?

Maxime Merli and Tristan Roger ()

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Abstract: This article intends to provide answers concerning what drives individual investor herding behavior. Our empirical study uses transaction records of 87,373 French individual investors for the period 1999-2006. In a Örst part, we show - using both the traditional Lakonishok et al. (1992) and the more recent Frey et al. (2007) measures - that herding is prevalent and strong among French individual investors. We then show that herding is persistent: stocks on which investors concentrate their trades at time t are more likely to be the stocks on which investors herd at time t+1. In a second part, we focus on the motivations of individual herding behavior. We introduce an investor speciÖc measure of herding which allows us to track the persistence in herding of individual investors. Our results highlight that this behavior is ináuenced by investor-speciÖc characteristics. We also reveal the fact that individual herding behavior is strongly and negatively linked with investorsíown past performance.

Keywords: Herding behavior; investor (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00658723v2
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Published in 2011

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Related works:
Journal Article: What drives the herding behavior of individual investors? (2013)
Working Paper: What drives the herding behavior of individual investors? (2013)
Working Paper: What drives the herding behavior of individual investors? (2011)
Working Paper: What drives the herding behavior of individual investors? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00658723

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