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Herding in Smart-Beta Investment Products

1
Department of Economics, School of Social Sciences, University of Manchester, Manchester M13 9PL, UK
2
Department of Finance, NHH–Norwegian School of Economics, 5045 Bergen, Norway
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(1), 47; https://doi.org/10.3390/jrfm12010047
Received: 26 February 2019 / Revised: 14 March 2019 / Accepted: 18 March 2019 / Published: 21 March 2019
(This article belongs to the Special Issue Risk Analysis and Portfolio Modelling)
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Abstract

We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have not yet come to the fore. We point out promising and novel approaches of modelling herding risk which merit empirical analysis. This financial economists’ perspective supplements the vast statistical exploration of implementing factor strategies. View Full-Text
Keywords: herding; factor investing; risk herding; factor investing; risk
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Krkoska, E.; Schenk-Hoppé, K.R. Herding in Smart-Beta Investment Products. J. Risk Financial Manag. 2019, 12, 47.

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