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- W2616243312 abstract "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 in small-cap stocks. We further show that aggregate herding, as measured by cross-sectional absolute deviations of returns, is a significant risk factor in determining the return generation process for stocks. In a multi-factor asset pricing framework, herding affects expected returns on sample stocks. The work shows empirical evidence to this effect across large-cap and small-cap stocks listed on the National Stock Exchange of India." @default.
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- W2616243312 date "2020-06-01" @default.
- W2616243312 modified "2023-10-14" @default.
- W2616243312 title "Herd behaviour and asset pricing in the Indian stock market" @default.
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- W2616243312 doi "https://doi.org/10.1016/j.iimb.2019.10.008" @default.
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