search query: @author Huang, R. / total: 5
reference: 2 / 5
| Author: | Christie, W. Huang, R. |
| Title: | Following the pied piper: do individual returns herd around the market? |
| Journal: | Financial Analysts' Journal
1995 : JUL/AUG, VOL. 51:4, p. 31-37 |
| Index terms: | MARKETS STOCK RETURNS STANDARDS |
| Language: | eng |
| Abstract: | Return dispersions, defined as the cross-sectional standard deviation of returns, are used to test for herd behavior in equity returns during periods of market stress. The results are inconsistent with the presence of herding, particularly during down markets, when investors may be most heavily influenced by the actions of others. During extreme down markets, when herding is expected to be most prevalent, the magnitude of the increase in the dispersion of actual return is mirrored by the increase of the dispersion of predicted returns that are estimated from a rational asset pricing model. |
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