The Herding Behavior of Professionals and Its Impact in the Korean Stock Market

Using the KRX/IFB intraday database which includes detailed information pertaining to the identity of the investor for each and every transaction, this paper investigates the herding behavior of professional investors and its impact on stock prices with the LSV herding measure. We find an asymmetric impact of buy herding and sell herding; while there is no return reversal following sell herding, buy herding is followed by return reversal. We also find evidence that return reversal after buy herding is stronger especially for stocks with lower analyst coverage.