Herding in Smart-Beta Investment Products
Journal article, Peer reviewed
Published version
Permanent lenke
http://hdl.handle.net/11250/2637994Utgivelsesdato
2019Metadata
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Originalversjon
10.3390/jrfm12010047Sammendrag
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