Gupta, Saurabh; Bhaduri, Saumitra N. - In: Review of Behavioral Finance 11 (2019) 4, pp. 373-392
Purpose: The purpose of this paper is to investigate investor behavior under two broad categories, market-wide sentiment and herding. Design/methodology/approach: Using a dynamic factor model, that extracts distinct latent factors representing fluctuations in asset returns due to changes in...