西南财经大学金融研究院
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期刊发表

【Journal of Behavioral Finance】Industry Herding and the Profitability of Momentum Strategies During Market Crisis

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作者:Riza Demirer (Southern Illinois University Edwardsville), 张华丞 (西南财经大学金融研究院)


摘要:

The degree of industry herding is significantly related to the subsequent performance of winner and loser industries. While the herding effect on losers is not inconsistent with investors’ tendency to herd on negative information, the herding effect on winners reflects institutional demand for overpriced securities. An alternative momentum strategy based on the degree of herding within an industry significantly outperforms the conventional industry momentum strategy over the subsequent 1, 3, 6, and 12 months. The findings suggest that behavioral patterns could be utilized to generate enhanced momentum profits, even during market stress periods when the conventional momentum strategy performs poorly.

上一条:【Review of Financial Economics】Do firm characteristics matter in explaining the herding effect on returns? 下一条:【Journal of Empirical Finance】Seasonality in the cross section of stock returns: Advanced markets versus emerging markets

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