Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common ...

We describe conditions on signal distributions that are necessary and sufficient for informational herding in a stylized model of sequential specialist security trading. Curiously, there can be persistent herding even with signals that satisfy the Monotone Likelihood Ratio Property. Price paths are strongly biased in the direction of the herd but prices are also very sensitive to movements agai...

In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains challenging. We introduce a novel interaction mechanism, i.e., the multi-level her...

During the rut, female ungulates move among harems or territories, either to sample mates or to avoid harassment. Females may be herded by a male, may stay with a preferred male, or aggregate near a dominant male to avoid harassment from other males. In fission-fusion group dynamics, female movement is best described by the group's fission probability, instead of inter-harem movement. In this s...

Herding behavior is a term used to describe how group of investors will imitate one another in order make judgments and take action. The CSAD model developed by Chang et al. (2000) this study investigate herding the Vietnamese stock market. empirical findings demonstrate presence tendency market return further separated into subgroups show that herd manifests under various situations. when mark...

Title of dissertation: ESSAYS ON MUTUAL FUNDS Nitin Kumar, Doctor of Philosophy, 2013 Dissertation directed by: Professor Russ Wermers Department of Finance Robert H. Smith School of Business This dissertation comprises of three essays on mutual funds. In the first essay, I test whether fund investors rationally incorporate portfolio manager ownership disclosure in their portfolio allocation de...

Herd behavior arises in many instances of information technology (IT) adoption. This study examines the economic and behavioral bases for herd behavior and decision conformity. We investigate the roles of payoff externalities, observational learning and managerial incentives in influencing IT adoption decisionmaking. Our study underscores the benefits of viewing various drivers of IT adoption h...

Herd behavior arises in many instances of information technology (IT) adoption. Our study examines the economic and behavioral basis for herd behavior and decision conformity. We investigate the roles of payoff externalities, observational learning and managerial incentives in influencing IT adoption decisionmaking. Our study underscores the benefits of viewing various drivers of IT adoption he...

The phenomenon of herding is a very general feature of the collective behavior of many species in panic conditions, including humans. It has been predicted theoretically that panic-induced herding in individuals confined to a room can produce a nonsymmetrical use of two identical exit doors. Here we demonstrate the existence of that phenomenon in experiments, using ants as a model of pedestrian...

We study the behavior of strategic customers in an open-routing service network with multiple stations. When a customer enters the network, she is free to choose the sequence of stations that she visits, with the objective of minimizing her expected total system time. We propose a two-station game with all customers present at the start of service and deterministic service times, and we find th...