Herding on Noise: The Case of Johnson Redbook's Weekly Retail Sales Data

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, Sept. 1997

Posted: 5 Nov 1997

See all articles by Joseph H. Golec

Joseph H. Golec

University of Connecticut - Department of Finance

Abstract

Recent models of herding suggest that speculators may rationally trade on information unrelated to fundamentals when their trading horizons are short. This study provides an empirical example where this appears to be the case. Johnson Redbook's weekly retail sales figures predicted bond returns for a short time after a significant number of bond traders began purchasing and trading on the data. The significant relationship between the data and bond returns disappeared just after the Wall Street Journal started to report it. Meanwhile, there was little or no change in the relationship between the data and retailers' stock returns, perhaps because the data have long been followed by retail stock analysts, Johnson Redbook's original investor clientele.

JEL Classification: G12, G14

Suggested Citation

Golec, Joseph, Herding on Noise: The Case of Johnson Redbook's Weekly Retail Sales Data. J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, Sept. 1997, Available at SSRN: https://ssrn.com/abstract=11250

Joseph Golec (Contact Author)

University of Connecticut - Department of Finance ( email )

School of Business
2100 Hillside Road
Storrs, CT 06269
United States

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