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 …

it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We …We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute … also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on …

We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross …-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect herding behavior in the time period between January … (SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study …

This paper investigates the existence of herding behavior in cryptocurrencies market. Using data of the 20 large … cryptocurrencies and MV Index Solution Crypto Compare Digital Assets for large cap index, we found no evidence of herding behavior … show significant herding behavior, which varies over time. Finally, we find an inverse relationship between herding …

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 …

, value and risk of the market. Despite our behavioral framework, the model’s fundamental steady state is characterized by … standard present-value relations between expected future payouts and the model-implied risk-adjusted return. We derive … that the asset market may display spontaneous, sharp and permanent downturns if investors react sensitively to risk, an …

show that herding, disposition effect, and blue chip bias have a significant positive impact on risk perception …. Overconfidence has a significant positive effect only on investment decision making, but not on risk perception. Risk perception is … significant positive indirect effect on investment decision making through risk perception. This study is conducted in a …

This study explores the nexus between investors’ sentiments and herding behavior toward the market consensus in the U ….S. and Europe stock markets from January, 2005 to April, 2021. We document strong evidence of herding during periods … characterized by high level of sentiments. Our results reveal that Thomson Reuters MarketPsych Indices positively impact herding and …

We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross …-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect herding behavior in the time period between January … (SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study …