Herding in Smart-Beta Investment Products
AbstractWe 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
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Krkoska, E.; Schenk-Hoppé, K.R. Herding in Smart-Beta Investment Products. J. Risk Financial Manag. 2019, 12, 47.
Krkoska E, Schenk-Hoppé KR. Herding in Smart-Beta Investment Products. Journal of Risk and Financial Management. 2019; 12(1):47.Chicago/Turabian Style
Krkoska, Eduard; Schenk-Hoppé, Klaus R. 2019. "Herding in Smart-Beta Investment Products." J. Risk Financial Manag. 12, no. 1: 47.
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