摘要：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 largecap stocks than in small-cap stocks. We further show that aggregate herding,as measured by crosssectional 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.
关键词：Behavioural finance; Herding; Asset pricing; Multi-factor model; Indian stock market
