such as size, style, volatility, skewness, momentum, and trend-following signals. In addition, the role of market breadth …

lower returns and higher volatility than adverse herding … intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of …

behavior, constituting 33% of the herding variability. The significance of world and regional components is likely to produce a … biased herding estimator. …

explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …