Herding in Smart-Beta Investment Products

29 Pages Posted: 10 Apr 2019

See all articles by Eduard Krkoska

Eduard Krkoska

University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students

Klaus Reiner Schenk-Hoppé

The University of Manchester - Department of Economics

Date Written: March 18, 2019

Abstract

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.

Keywords: herding, factor investing, risk

JEL Classification: G12, G14, G40

Suggested Citation

Krkoska, Eduard and Schenk-Hoppé, Klaus Reiner, Herding in Smart-Beta Investment Products (March 18, 2019). Available at SSRN: https://ssrn.com/abstract=3354963 or http://dx.doi.org/10.2139/ssrn.3354963

Eduard Krkoska

University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

Klaus Reiner Schenk-Hoppé (Contact Author)

The University of Manchester - Department of Economics ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
206
Abstract Views
1,150
Rank
267,552
PlumX Metrics