Abstract
We outline theoretically why different return measures (simple or logarithmic) may affect tests for herding. Comprehensive empirical tests using data from many major world financial markets confirm that different returns measures do frequently lead to different conclusions about the presence of herding.
Original language | English |
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Journal | Economics Bulletin |
Volume | 43 |
Issue number | 2 |
Publication status | Published (VoR) - 2023 |