Institutional industry herding: Intentional orspurious?

This paper investigates the extent to which institutional herding atthe industry level is motivated by intent. We assess intent usingboth market and sector states based on three variables (returns;volatility; volume), in order to gauge whether herding intent ismore relevant to conditions prevailing in a sector or the marketas a whole. Using a unique database of quarterly portfolio holdingsof Spanish funds, we produce evidence that institutional herdingin the Spanish market is intentional for most sectors, manifestingitself mainly during periods when the market as a whole or thespecific sector under examination has underperformed, generatedrising/high volatility and exhibited rising/high volume.