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 …

-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions … sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis. …