Investigating macro herd behaviour: evidence from publicly traded German companies

What is it about?

Macro herding is more pronounced in down markets than in up markets and is more pronounced when market returns reach extreme levels. Additionally, there is stronger herding among large companies compared to small companies, as well as stock characteristics considered, i.e., whether a stock is a growth or a value stock, have no effect on the degree of macro herding. Contemporaneous market-wide information drives macro herding and that macro herding facilitates the rapid incorporation of market-wide information into prices.

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