The effect of institutional herding on stock prices: The differentiating role of credit ratings

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE Journal of Banking & Finance Pub Date : 2024-04-15 DOI:10.1016/j.jbankfin.2024.107186

Xu Guo , Chen Gu , Allan A. Zebedee , Li-ting Chiu

引用次数: 0

Abstract

This paper investigates the impact of institutional herding on stock price formation, conditional on firms’ credit ratings, using 13F data from 1986 to 2019. In line with the current literature, we find herding intensity is driven by past returns consistent with momentum trading; however, we also find that herding is more sensitive to past returns for non-investment grade (NIG) stocks than investment grade (IG) stocks, resulting in a market bifurcation. We then examine the price impact of these trades and find that herding in NIG equities enhances price discovery. One plausible explanation is that information gradually diffuses within non-investment grade stocks, and herding behavior strengthens information discovery. Finally, we show both momentum-triggered herding and non-momentum-triggered herding contribute to price discovery among non-investment grade stocks.

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机构羊群效应对股票价格的影响：信用评级的区别作用

本文利用 1986 年至 2019 年的 13F 数据，以公司信用评级为条件，研究了机构羊群效应对股价形成的影响。与目前的文献一致，我们发现羊群效应的强度是由过去的回报驱动的，这与动量交易是一致的；但是，我们也发现，与投资级（IG）股票相比，非投资级（NIG）股票的羊群效应对过去的回报更加敏感，从而导致了市场分叉。然后，我们研究了这些交易对价格的影响，发现对 NIG 股票的羊群效应增强了价格发现能力。一个合理的解释是，信息在非投资级股票中逐渐扩散，羊群行为加强了信息发现。最后，我们表明，动量触发的羊群行为和非动量触发的羊群行为都有助于非投资级股票的价格发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.

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