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Cross-sectional return dispersion and volatility prediction

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Pacific-Basin finance journal 58 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012231130

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise … the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining … also makes sure that the estimated structural parameters are well identified. -- Structural stochastic volatility ; method …

Persistent link: https://www.econbiz.de/10009424773

Investor herding behavior and its effect on stock market boom-bust cycles

Hammami, Haifa; Boujelbene, Younes - In: The IUP journal of applied finance : IJAF 21 (2015) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10011300783

A Markov switching approach to herding

Bohl, Martin T.; Klein, Arne Christian; Siklos, Pierre L. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 2, pp. 193-220

Persistent link: https://www.econbiz.de/10011555108

Cross-sectional absolute deviation approach for testing the herd behavior theory : the case of the ASE index

Ramadan, Imad Z. - In: International journal of economics and finance 7 (2015) 3, pp. 188-193

Persistent link: https://www.econbiz.de/10010508412

A note on risk aversion and herd behavior in financial markets

Décamps, Jean-Paul; Lovo, Stefano M. - In: The Geneva risk and insurance review 31 (2006) 1, pp. 35-42

Persistent link: https://www.econbiz.de/10003364876

Gleichgerichtetes Verhalten am Aktienmarkt : eine Verbindung ökonomischer, psychologischer und soziologischer Ansätze

Hoffmann, Carsten - 2001

Persistent link: https://www.econbiz.de/10001553445

A Neural Basis of Herd Behavior in Stock Market : An Experimental Design

Liang, Hao - 2011

A widely observed phenomenon in the financial market is the irrational herd behavior of investors who tend to move together in stock trading under certain market conditions. While behavioral finance literature tries to explain investors' sentiments and behaviors through psychological factors,...

Persistent link: https://www.econbiz.de/10013130127

Consumption-Based Asset Pricing with Herd Behavior

Curatola, Giuliano - 2012

This paper analyzes the link between herd behavior and asset prices in a multi-good pure-exchange economy where investors' preferences evolve over time in response to the consumption decisions of other investors. More precisely, the rule of updating preferences incorporates a bandwagon effect,...

Persistent link: https://www.econbiz.de/10013105266

Investor Herding Behavior and its Effect on Stock Market Boom-Bust Cycles

Hammami, Haifa - 2015

In this study, we test for the presence of investor herding behavior in the Tunisian stock market. Further, we explore … the explanatory factors of the occurrence of the probability of stock market booms and busts by combining herding behavior … of investors and economic and financial fundamentals. We find that investors exhibit different levels of herding behavior …

Persistent link: https://www.econbiz.de/10013015448