The Effects of Herding on Betas and Idiosyncratic Risk

Autor:	Petros Messis, Antonis Alexandridis, Achilleas Zapranis
Rok vydání:	2021
Předmět:	Systematic risk Econometrics Economics Experimental and Cognitive Psychology Herding Herd behavior Finance
Zdroj:	Journal of Behavioral Finance. 24:131-146
ISSN:	1542-7579 1542-7560
DOI:	10.1080/15427560.2021.1975713
Popis:	This paper investigates the consequences of herding on systematic and idiosyncratic risk for stocks traded on S&P 500. Herding behavior is measured through a state-space model. Using monthly data f...
Databáze:	OpenAIRE
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