Notice of Violation of IEEE Publication PrinciplesA Correction of LSV Herding Measure

Notice of Violation of IEEE Publication Principles

"A Correction of LSV Herding Measure"
by Mei Chen, Liang Guo
in the Proceedings of the Fourth International Conference on Business Intelligence and Financial Engineering, 2011, pp. 362-366

After careful and considered review of the content and authorship of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE\´s Publication Principles.

This paper contains significant portions of original text from the paper cited below. The original text was copied with insufficient attribution (including appropriate references to the original author(s) and/or paper title) and without permission.

Due to the nature of this violation, reasonable effort should be made to remove all past references to this paper, and future references should be made to the following article:

"Measuring Herding Intensity: A Hard Task"
by Raphaelle Bellando
Available at Social Science Research Network--June 2010
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1622700

This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of internal consistency. Frey, Herbst and Walter (2007) have shown by empirical simulations that LSV is biased, so the LSV herding measure should be corrected or modified to some extent. A more appropriate measure of herding using corrected adjustment factor has been proposed here. As corrected measure requires a prior knowledge of some parameters of the distribution, it is concluded that testing the corrected LSV herding measure is a much more difficult task than considered so far.