Authors
Advisor(s)
Abstract(s)
This paper investigates institutional herding for extreme event-days in the US stock market
between 2000 and 2010. We show that, for more extreme return’ stocks, abnormal returns and
abnormal turnover are strongly linked to institutional ownership. Six month post-event
performance show evidence of overreaction and underreaction by institutions on the event-days,
consistent to findings related to informational cascades and the uncertain information hypothesis.