Herd behaviour and asset pricing in the Indian stock market

Herd behaviour and asset pricing in the Indian stock market

We study the presence of aggregate herding in the Indian stock market and examine whether herding propensity qualifies to be a priced-risk factor for cross-sections of stocks. Using daily stock returns data, this paper shows that aggregate herding exists more significantly in large-cap stocks than i...

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Bibliographic Details
Main Authors: Yash Chauhan, Nehal Ahmad, Vaishali Aggarwal, Abhijeet Chandra
Format: Article
Language:English
Published: Elsevier 2020-06-01
Series:IIMB Management Review
Subjects:
Behavioural finance
Herding
Asset pricing
Multi-factor model
Indian stock market
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389617301672

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http://www.sciencedirect.com/science/article/pii/S0970389617301672

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