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Herding in smart-beta investment products
Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 12 (2019) 1/47, pp. 1-14
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to … portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem … modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical …
Persistent link: https://www.econbiz.de/10012022287
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Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)
Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global … financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the …
Persistent link: https://www.econbiz.de/10013164975
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The investment performance of ethical equity funds in Malaysia
Fadillah Mansor; Bhatti, Muhammad Ishaq; Rahman, Shafiqur; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/219, pp. 1-14
This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our...
Persistent link: https://www.econbiz.de/10012384341
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Herding behavior in developed, emerging, and frontier European stock markets during COVID-19 pandemic
Bogdan, Siniša; Suštar, Natali; Olgić Draženović, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-12
implications for financial stability. Moreover, this phenomenon may be even more pronounced in times of crisis. Although herding is …
Persistent link: https://www.econbiz.de/10013399747
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Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22
sector seems to have the majority of the style-based risk factors as the SMB is positively significant at a 5% level, the HML …
Persistent link: https://www.econbiz.de/10014301573
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Gamesmanship and seasonality in U.S. stock returns
Ackert, Lucy F.; Athanassakos, George - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-11
We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting...
Persistent link: https://www.econbiz.de/10012534530
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Developing an impact-focused typology of socially responsible fund providers
Diener, Joel; Habisch, André - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-18
The concept of investor impact of socially responsible investments is relatively new. Our article expands knowledge in this field by analyzing how investor impact is implemented in the ethical investment policies of 45 providers of publicly traded, socially responsible funds. Based on a...
Persistent link: https://www.econbiz.de/10013370361
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Institutional investors' distraction and executive compensation stickiness based on multiple regression analysis
Hong, Yizhao; Cao, Chongyan - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-21
Based on the impact of industry extreme return on the attention of institutional investors, taking Chinese A-share listed companies from 2011 to 2020 as a sample, this paper empirically tests the relationship between institutional investors’ distraction and executive compensation stickiness...
Persistent link: https://www.econbiz.de/10014305662
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Investor sentiment, portfolio returns, and macroeconomic variables
Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14
Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the...
Persistent link: https://www.econbiz.de/10012389848
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Algorithm aversion as an obstacle in the establishment of Robo advisors
Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
Within the framework of a laboratory experiment, we examine to what extent algorithm aversion acts as an obstacle in the establishment of robo advisors. The subjects had to complete diversification tasks. They could either do this themselves or they could delegate them to a robo advisor. The...
Persistent link: https://www.econbiz.de/10013380483