This paper investigates the predictability of stock market returns conditional on herd behaviour states (intense/adverse) using a fixed effects model to capture cross-sectional and time variability covering the European region. We show that herd behaviour negatively forecasts stock returns on...

This paper investigates the determinants of time-varying herd behaviour and their interaction effect with asymmetric market conditions. The sample used covers the stocks listed in Europe from December 1992 to December 2020. We expand the state-space model of Hwang and Salmon (2004) to capture...

In this paper, we apply two state-space models based on the cross-sectional dispersion of the factor sensitivities (betas) of securities for extracting the time series of herding towards the market, size/growth (SMB), value (HML), operating profitability (RMW), investment (CMA) and momentum...

This paper investigates whether herd behaviour states (intense/adverse) affect stock market returns using a fixed effects model to capture cross-sectional and time variability covering the European region. We show that herd behaviour negatively impacts stock returns on average. From December...

We apply two state-space models based on the cross-sectional dispersion of the factor sensitivities of securities for extracting the time series of herding towards the market, size/growth (SMB), value (HML), operating profitability (RMW), investment (CMA) and momentum (WML) factors. The sample...