The Effects of Herding on Betas and Idiosyncratic Risk

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-09-13 DOI:10.1080/15427560.2021.1975713

P. Messis, A. Alexandridis, A. Zapranis

引用次数: 1

Abstract

Abstract 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 from 1999 to 2017, different periods of herding and adverse herding are present. Evidence shows that the state space model identifies the significant herding effects on both risk measures for specific portfolios. Our findings validate the expected implications of herding on betas but not of adverse herding. In addition, the low-beta anomaly is not confirmed on our beta-based portfolios. On the other hand, we confirm the risk-return relationship. We attribute this evidence to overpriced values of high beta assets as well as to the effects of adverse herding on the systematic and idiosyncratic risk. Finally, we also show that the herding level could serve as a systematic driver of returns improving the portfolio performance of traditional ‘anomaly’ based strategies.

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放牧对β和特殊风险的影响

摘要本文研究了羊群效应对标普500指数成份股系统风险和特质风险的影响。羊群行为是通过状态空间模型来衡量的。利用1999 - 2017年的月度数据，存在不同时期的放牧和不利放牧。有证据表明，状态空间模型识别了特定投资组合的两种风险度量的显著羊群效应。我们的研究结果证实了预期的放牧对β的影响，而不是不利的放牧。此外，在我们基于贝塔的投资组合中，低贝塔异常并未得到证实。另一方面，我们确认了风险收益关系。我们将这一证据归因于高贝塔资产的高估价值以及不利羊群对系统和特殊风险的影响。最后，我们还表明，羊群水平可以作为回报的系统驱动因素，改善传统的基于“异常”的投资组合绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.