This paper evaluates the impact of industry herding on return momentum. While the findings support that winner industries outperform loser industries in subsequent months, we find that the profitability of industry momentum strategies depends on the level of herding in an industry. Loser...

This paper extends the research on investor herds to American Depository Receipts (ADRs). Using daily price data on 305 ADRs traded in US exchanges issued by corporations from 19 countries, we examine herding behavior in the market for ADRs within country and sector-based portfolios. There is...

In this study we measure the value of active money management. We explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for cross-sectional portfolio choice among a large number of assets and comparing...

Using time-series trends of a set of firms' major fundamentals, we find that there is a fundamentalmomentum in the stock market. Buying stocks in the top quintile of fundamental trends and selling stocks in the bottom quintile earns a monthly average return of 0.88%, whose magnitude is...

We argue that active fund managers can pick stocks only when the market presents such opportunities. We propose measures of stock selection opportunity and show evidence that a significant portion of mutual funds time stock selection, i.e., trading more when stock selection opportunities are...