Abstract
AbstractThis paper investigates institutional herding behaviours in the U.S. Treasury market. We find that the level of herding is higher for bonds with a longer time to maturity and this pattern is significant only for buy herding, not sell herding. This term structure of herding is stronger for funds with a shorter investment horizon. These patterns remain strong for Treasury Inflation‐Protected Securities and for Treasuries with high coupon rates. Overall, our findings support investors' short‐termism as a channel for the term structure of herding and are inconsistent with other herding explanations, such as spurious herding, reputational concerns and information cascades.
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