Park, A. and Sabourian, H.

Herding and contrarian behavior in financial markets

Econometrica

Vol. 79(4) pp. 973-1026 (2011)

Abstract: This manuscript is a substantially revised and generalized version of our earlier paper “Herd Behavior in Efficient Financial Markets.” Financial support from the ESRC (Grants RES-156-25-0023 and R00429934339) and the TMR Marie Curie Fellowship Program is gratefully acknowledged. Andreas thanks the University of Copenhagen for its hospitality while some of this research was developed. We thank three anonymous referees for detailed comments, and the co-editor for very helpful suggestions and advice. We are also grateful to Markus Brunnermeier, Christophe Chamley, Tony Doblas-Madrid, Scott Joslin, Rob McMillan, Peter Sorensen, and Wei Xiong for helpful discussions. Finally, we thank seminar participants at the following conferences, workshops, and departments for useful comments: St. Andrews ESRC Macro, Gerzensee Economic Theory, SAET Vigo Spain, ESRC World Economy Birkbeck, ESRC British Academy Joint Public Policy Seminar, Cambridge–Princeton Workshop, Cambridge Social Learning Workshop

JEL Codes: G02

Author links: Hamid Sabourian  

Publisher's Link: http://onlinelibrary.wiley.com/doi/10.3982/ECTA8602/abstract