원문정보
초록
영어
We investigate the effects of a behavioral bias in betas on cross-sectional asset returns. This bias, which we call beta herding, reflects the interaction between sentiment and herding in linear factor models. We demonstrate that beta herding is likely to arise when investors are more confident about the future direction of the market, regardless of whether the market is rising or falling, or when sentiment is high. Contrary to common belief that herding increases during market crises, our empirical evidence indicates that crises appear to lead investors to seek out the fundamental risk-return relationship rather than to herd. In terms of cross-sectional asset returns, we show evidence that beta matters conditionally on beta herding though it does not unconditionally. The conditional explanation of beta herding is distinct from other firm characteristics.
목차
1. Introduction
2. Cross-sectional mispricing, sentiment, and beta herding
2.1. Herding driven by cross-sectional mispricing
2.2. Herding driven by sentiment
2.3. A model for beta bias in the presence of cross-sectional herding and sentiment
2.4. Beta herding
2.5. A Measure of beta herding
2.6. Estimating and testing beta herding
3. Empirical Properties of Beta Herding
3.1. Estimation of Beta and Data
3.2. Empirical Properties of Beta Herd Measures
3.3. Robustness to Fundamentals
3.4. Beta Herding and Economic Events
3.5. Beta Herding in Portfolios and before 1967
3.6. The Relationship between Market Sentiment and Beta Herding
4. Beta Herding and Cross-sectional Asset Returns
4.1. Cross-sectional Asset Returns Conditional on Beta Herding
4.2. Beta Herding and Firm Characteristics
5. Conclusions
References
Appendix