01798cas a2200253 a 4500 AALejournalIMF006923 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455211692 1018-5941 BD-DhAAL BD-DhAAL Guarino, Antonio. Estimating a Structural Model of Herd Behavior in Financial Markets / Antonio Guarino, Marco Cipriani. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (33 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Incorporated) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value. Mode of access: Internet Cipriani, Marco. IMF Working Papers; Working Paper ; No. 2010/288 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/288/001.2010.issue-288-en.xml IMF e-Library