The aims of this paper are to detect evidence of institutional investor herding behaviour and examine the role that investor sentiment plays in the institutional investor herd behaviour. We use bivariate GARCH method estimated time varying beta to estimate herding variables of UK open-ended and...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...