Herding effect on idiosyncratic volatility in U.S. industries
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DOI: 10.1016/j.frl.2017.03.001
Abstract: This paper investigates the effect of herding behavior on excessive market idiosyncratic volatility in the U.S. stock market at a sectoral level. We carefully modify the cross sectional absolute deviation model to include trading volume… read more here.
Keywords: herding effect; volatility; idiosyncratic volatility; effect ... See more keywords