Herding states and stock market returns

• Tipo: Artigo em Revista Científica Internacional
• Data: 2024

Autores

Costa, F (Autor) Outra; Fortuna, Natércia (Autor) FEP; Lobão, J (Autor) FEP

Revista

Título: Research in International Business and Finance

Vol. 68

ISSN: 0275-5319

Editora: Elsevier

Indexação

ISI Web of Knowledge - 5 Citações

Scopus - 4 Citações

Outras Informações

ID Authenticus: P-00Z-AJJ

DOI: 10.1016/j.ribaf.2023.102163

Abstract (EN): This paper investigates whether herd behaviour states (intense/adverse) affect stock market returns using a fixed effects model to capture cross-sectional and time variability covering the European region. We show that stock market returns depend on past herding states. From December 1992 to December 2020, the mean returns following an intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our results are robust to using risk-adjusted returns and a continuous herding variable. We also show that intense herding emerges during periods of lower returns and higher volatility than adverse herding. © 2023 The Author(s)

Idioma: Inglês

Tipo (Avaliação Docente): Científica